A Proof of Dassios' Representation of the |alpha-Quantile of Brownian Motion with Drift

Authors
Embrechts, P. Rogers, L. C. G. Yor, M.
Citation
P. Embrechts, et al., A Proof of Dassios' Representation of the |alpha-Quantile of Brownian Motion with Drift, Annals of applied probability , 5(3), 1995, pp. 757-767
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
5
Issue
3
Year of publication
1995
Pages
757 - 767
Database
ACNP
SICI code
Abstract
An explanation of a remarkable identity in law, due to A. Dassios, concerning the .-quantile of Brownian motion with drift is given with the help of Bertoin's rearrangement of positive and negative excursions for Brownian motion with drift.