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2010 The Maximum of Brownian Motion Minus a Parabola
Piet Groeneboom
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Electron. J. Probab. 15: 1930-1937 (2010). DOI: 10.1214/EJP.v15-826

Abstract

We derive a simple integral representation for the distribution of the maximum of Brownian motion minus a parabola, which can be used for computing the density and moments of the distribution, both for one-sided and two-sided Brownian motion.

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Piet Groeneboom. "The Maximum of Brownian Motion Minus a Parabola." Electron. J. Probab. 15 1930 - 1937, 2010. https://doi.org/10.1214/EJP.v15-826

Information

Accepted: 17 November 2010; Published: 2010
First available in Project Euclid: 1 June 2016

zbMATH: 1226.60110
MathSciNet: MR2738343
Digital Object Identifier: 10.1214/EJP.v15-826

Subjects:
Primary: 60J65
Secondary: 60J75

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Vol.15 • 2010
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