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The correlation of the maxima of correlated Brownian motions

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

L. C. G. Rogers  and
Larry Shepp
L. C. G. Rogers*
Affiliation:
University of Cambridge
Larry Shepp*
Affiliation:
Rutgers University
*
∗Postal address: Statistical Laboratory, Centre for Mathematical Sciences, University of Cambridge, Wilberforce Road, Cambridge CB3 0WB, UK. Email address: l.c.g.rogers@statslab.cam.ac.uk
∗∗Postal address: Department of Statistics, Rutgers University, Piscataway, NJ 08854-8019, USA. Email address: shepp@stat.rutgers.edu
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Abstract

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We obtain an expression for the correlation of the maxima of two correlated Brownian motions.

Keywords

Brownian motioncorrelationKantorovich-Lebedev transform

MSC classification

Primary: 60J65: Brownian motion
Type
Research Article
Information
Journal of Applied Probability , Volume 43 , Issue 3 , September 2006 , pp. 880 - 883
Copyright
© Applied Probability Trust 2006 

References

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