In this paper, we discuss the problem of extreme value for Brownian motion with positive drift. We obtain the joint distribution of the maximum excursion and the minimum excursion.
基金Supported by the National Natural Foundation of China(10271062,10411076)Supported by the Research Fund for the Doctorial Program of Qufu Normal University(20050701)
文摘In this paper, we discuss the problem of extreme value for Brownian motion with positive drift. We obtain the joint distribution of the maximum excursion and the minimum excursion.
