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The Maximum of Brownian Motion with Parabolic Drift
Janson, Svante; Uppsala University - Louchard, Guy; Université Libre de Bruxelles - Martin-Löf, Anders; Stockholm University
| Formato: |
Peer-reviewed Article, |
| Enlaces: |
 
We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. We give…
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| Fecha: |
2010-01-01 |
| Recurso: |
Electronic journal of probability |
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