Probability that the maximum of the reflected Brownian motion over a finite interval \([0,t]\) is achieved by its last zero before \(t\).
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Publication:894488
DOI10.1214/ECP.v20-4279zbMath1329.60292arXiv1505.03274MaRDI QIDQ894488
Pierre Vallois, Agnès Lagnoux, Sabine Mercier
Publication date: 1 December 2015
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.03274
gamma function; Bessel process; Brownian bridge; maximum; reflected Brownian motion; Brownian meander; local score
60G70: Extreme value theory; extremal stochastic processes
60J25: Continuous-time Markov processes on general state spaces
60J65: Brownian motion
60G17: Sample path properties