带漂移的布朗运动的极大游程与极小游程的联合分布

数学季刊 ›› 2007, Vol. 22 ›› Issue (1): 57-62.

带漂移的布朗运动的极大游程与极小游程的联合分布

1.Department of Mathematics,Qufu Normal University,Shandong 273165,China; 2.School of Mathematics,Nankai University,Tianjin 300071,China

收稿日期:2003-08-11 出版日期:2007-03-30 发布日期:2023-11-13
作者简介: LÜ Yu-hua(1965-),male,native of Yanzhou,Shandong,a professor of Qufu Normal University, Ph.D.,engages in stochastic process.
基金资助:
Supported by the National Natural Foundation of China(10271062,10411076)； Supported by the Research Fund for the Doctorial Program of Qufu Normal University(20050701)；

The Joint Distribution of the Maximum Excursion and the Minimum Excursion for Brownian Motion with Drift

1.Department of Mathematics,Qufu Normal University,Shandong 273165,China; 2.School of Mathematics,Nankai University,Tianjin 300071,China

Received:2003-08-11 Online:2007-03-30 Published:2023-11-13
About author: LÜ Yu-hua(1965-),male,native of Yanzhou,Shandong,a professor of Qufu Normal University, Ph.D.,engages in stochastic process.
Supported by:
Supported by the National Natural Foundation of China(10271062,10411076)； Supported by the Research Fund for the Doctorial Program of Qufu Normal University(20050701)；

摘要/Abstract

摘要： 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.

关键词:

Brownian motion, ruin time, the first hitting time, the last exit time, maximum , excursion, minimum excursion

Abstract: 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.

Key words:

Brownian motion, ruin time, the first hitting time, the last exit time, maximum , excursion, minimum excursion

中图分类号:

O211.6

吕玉华, 徐润. 带漂移的布朗运动的极大游程与极小游程的联合分布[J]. 数学季刊, 2007, 22(1): 57-62.

LLÜ Yu-hua, XU Run. The Joint Distribution of the Maximum Excursion and the Minimum Excursion for Brownian Motion with Drift[J]. Chinese Quarterly Journal of Mathematics, 2007, 22(1): 57-62.

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