Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{1}) and set (M_{t}:=sup _{s leqslant t} B_{s}). Find the distribution

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Let $\left(B_{t}ight)_{t \geqslant 0}$ be a $\mathrm{BM}^{1}$ and set $M_{t}:=\sup _{s \leqslant t} B_{s}$. Find the distribution of $\left(M_{t}, B_{t}ight)$.

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

ISBN: 9783110741254

3rd Edition

Authors: René L. Schilling, Björn Böttcher

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Question Posted: Mar 17, 2024 01:00 AM

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Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{1}) and set (M_{t}:=sup _{s leqslant t} B_{s}). Find the distribution

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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