In article <8ucalv$1c6pr$[EMAIL PROTECTED]>,
Li0N_iN_0iL <[EMAIL PROTECTED]> wrote:
>Vincent Granville wrote:
>>The problem is to find the (parametric?) distribution of
>>the ratio low/high in connection with Brownian motions.
>>The application I have in mind is daily low/high or 52-week
>>low/high for any particular stock price.
>Brownian motions are usually described as having a
>Maxwell distribution (in three dimensions) or a
>Rayleigh distribution (in two dimensions).
The Brownian motion here is one-dimensional. It is not
at all difficult to get the joint distribution of the
maximum and minimum of a Brownian motion, even with
linear drift, given the values at the endpoints. This
is obtained by the reflection principle using a
straightforward device which should be in the literature;
it is not hard to derive, but it does not belong in
this newsgroup.
--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Dept. of Statistics, Purdue Univ., West Lafayette IN47907-1399
[EMAIL PROTECTED] Phone: (765)494-6054 FAX: (765)494-0558
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