The maximum of Brownian motion minus a parabola

Details The maximum of Brownian motion minus a parabola The maximum of Brownian motion minus a parabola

2010-10-29

arxiv.org/abs/1011.0022v1

Electronic Journal of Probability (2010), 15, 1930-1935

Mathematics

Probability

7 pages, 4 figures, to appear in the Electronic Journal of Probability

Scientific paper

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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