Choi, ByoungSeon; Roh, JeongHo - In: Statistics & Probability Letters 83 (2013) 4, pp. 1046-1053
The trivariate joint probability density function of Brownian motion and its maximum and minimum can be expressed as an infinite series of normal probability density functions. In this letter, we show that the infinite series converges uniformly, and satisfies the Fokker–Planck equation. Also,...