On the location of the maximum of a continuous stochastic process
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Abstract: In this short note we will provide a sufficient and necessary condition to have uniqueness of the location of the maximum of a stochastic process over an interval. The result will also express the mean value of the location in terms of the derivative of the expectation of the maximum of a linear perturbation of the underlying process. As an application, we will consider a Brownian motion with variable drift. The ideas behind the method of proof will also be useful to study the location of the maximum, over the real line, of a two-sided Brownian motion minus a parabola and of a stationary process minus a parabola.
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(25)- On the maximum of a Wiener process and its location
- Location of the path supremum for self-similar processes with stationary increments
- Some developments in the theory of shape constrained inference
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