Theoretical Statistics and Mathematics Unit, ISI Delhi

On the argmin of a drifted Brownian Motion

by Arijit Chakrabarty

Consider a two-sided Brownian Motion to which an even continuous drift is added. A further drift which is odd, continuous and increasing is added, such that the infimum of the resultant process over the real line is finite and achieved. It is shown in this note that the positive part of the argmin is stochastically dominated by the negative part of the same.

isid/ms/2016/11 [fulltext]

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