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- W4288024903 abstract "The conditional expectation and conditional variance of Brownian motion is considered given the argmax, B(t|argmax), as well as those with additional information: B(t|close, argmax), B(t|max, argmax), B(t|close, max, argmax) where the close is the final value: B(t=1)=c and t in [0,1]. We compute the expectation and variance of a Brownian meander in time. By splicing together two Brownian meanders, the mean and variance of the constrained process are calculated. Computational results displaying both the expectation and variance in time are presented. Comparison of the simulation with theoretical values are shown when the close and argmax are given." @default.
- W4288024903 created "2022-07-26" @default.
- W4288024903 creator A5000531489 @default.
- W4288024903 date "2019-11-12" @default.
- W4288024903 modified "2023-09-26" @default.
- W4288024903 title "Mean and Variance of Brownian Motion with Given Final Value, Maximum and ArgMax: Extended Version" @default.
- W4288024903 doi "https://doi.org/10.48550/arxiv.1911.05272" @default.
- W4288024903 hasPublicationYear "2019" @default.
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