Abstract
In the present paper we deduce explicit formulas for the probability laws of the quotients $X_t/R_t$ and $m_t/R_t$, where $X_t$ is the standard Brownian motion and $m_t$, $M_t$, $R_t$ are its running minimum, maximum and range, respectively.The computation makes use of standard techniques from analytic number theory and the theory of the Hurwitz zeta function.
Citation
Florin Spinu. "The probability law of the Brownian motion normalized by its range." Electron. Commun. Probab. 18 1 - 8, 2013. https://doi.org/10.1214/ECP.v18-2568
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