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The Maximum of Brownian Motion Minus a Parabola


 
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1. Title Title of document The Maximum of Brownian Motion Minus a Parabola
 
2. Creator Author's name, affiliation, country Piet Groeneboom; Delft University of Technology; Netherlands
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Brownian motion, parabolic drift, maximum, Airy functions
 
3. Subject Subject classification 60J65;60J75
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2010-11-17
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/826
 
10. Identifier Digital Object Identifier 10.1214/EJP.v15-826
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 15
 
12. Language English=en
 
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