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Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon

   
@article{ECP1453,
	author = {A.J.E.M Janssen and J.S.H. Van Leeuwaarden},
	title = {Equidistant sampling for the maximum of a Brownian motion with drift on a  finite horizon},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {14},
	year = {2009},
	keywords = {Gaussian random walk; maximum; Riemann zeta function; Euler-Maclaurin summation; equidistant sampling of Brownian motion; finite horizon},
	abstract = {A Brownian motion observed at equidistant sampling points renders a random walk with normally distributed increments. For the difference between the expected maximum of the Brownian mo- tion and its sampled version, an expansion is derived with coefficients in terms of the drift, the Riemann zeta function and the normal distribution function.},
	pages = {no. 14, 143-150},
	issn = {1083-589X},
	doi = {10.1214/ECP.v14-1453},    
        url = {http://ecp.ejpecp.org/article/view/1453}}