Chernoff's distribution and differential equations of parabolic and Airy type

DOI10.1016/J.JMAA.2014.10.051zbMath1382.60106arXiv1305.6053OpenAlexW2962804144MaRDI QIDQ472386

Nico M. Temme, Steven P. Lalley, Piet Groeneboom

Publication date: 19 November 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.6053

zbMATH Keywords

parabolic partial differential equationsFeynman-Kac formulaAiry functionsBrownian motion with parabolic driftCameron-Martin-Girsanov formulaScorer functions

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Brownian motion (60J65)

Related Items (7)

Scalar conservation laws with white noise initial data ⋮ Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression ⋮ Rejoinder ⋮ Some developments in the theory of shape constrained inference ⋮ A conversation with Jon Wellner ⋮ Trimmed Mean Isotonic Regression ⋮ Confidence Intervals for the Current Status Model

Cites Work

• Unnamed Item
• Vertices of the least concave majorant of Brownian motion with parabolic drift
• The tail of the maximum of Brownian motion minus a parabola
• The maximum of Brownian motion with parabolic drift
• The maximum of Brownian motion minus a parabola
• Moments of the location of the maximum of Brownian motion with parabolic drift
• Finite size scaling for the core of large random hypergraphs
• A convolution integral equation solved by Laplace transformations
• Estimation of the mode
• The maximum of a random walk whose mean path has a maximum
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• On the Location of the Maximum of a Continuous Stochastic Process

This page was built for publication: Chernoff's distribution and differential equations of parabolic and Airy type