Moments of the location of the maximum of Brownian motion with parabolic drift

Svante Janson

doi:10.1214/ECP.v18-2330

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Home > Journals > Electron. Commun. Probab. > Volume 18 > Article

2013 Moments of the location of the maximum of Brownian motion with parabolic drift

Svante Janson

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Svante Janson¹
¹Uppsala University

Electron. Commun. Probab. 18: 1-8 (2013). DOI: 10.1214/ECP.v18-2330

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Abstract

We derive integral formulas, involving the Airy function, for moments of the time a two-sided Brownian motion with parabolic drift attains its maximum.<br />

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Svante Janson. "Moments of the location of the maximum of Brownian motion with parabolic drift." Electron. Commun. Probab. 18 1 - 8, 2013. https://doi.org/10.1214/ECP.v18-2330

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Accepted: 27 February 2013; Published: 2013

First available in Project Euclid: 7 June 2016

zbMATH: 1306.60114

MathSciNet: MR3037213

Digital Object Identifier: 10.1214/ECP.v18-2330

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Primary: 60J65

Keywords: Brownian motion , Chernoff's distribution , parabolic drift

Rights: Creative Commons Attribution 3.0 License

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Svante Janson "Moments of the location of the maximum of Brownian motion with parabolic drift," Electronic Communications in Probability, Electron. Commun. Probab. 18(none), 1-8, (2013)

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