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


 
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1. Title Title of document Moments of the location of the maximum of Brownian motion with parabolic drift
 
2. Creator Author's name, affiliation, country Svante Janson; Uppsala University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) brownian motion; parabolic drift; Chernoff's distribution
 
3. Subject Subject classification 60J65
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) The Knut and Alice Wallenberg Foundation
 
7. Date (YYYY-MM-DD) 2013-02-27
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2330
 
10. Identifier Digital Object Identifier 10.1214/ECP.v18-2330
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 18
 
12. Language English=en en
 
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