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

DOI10.1016/J.JMAA.2014.10.051MaRDI QIDQ472386zbMATH OpenOpenAlexFDO

Authors Steven P. Lalley, Nico M. Temme, 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

Feynman-Kac formulaparabolic partial differential equationsAiry functionsBrownian motion with parabolic driftCameron-Martin-Girsanov formulaScorer functions

Mathematics Subject Classification ID

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

Abstract: We give a direct derivation of the distribution of the maximum and the location of the maximum of one-sided and two-sided Brownian motion with a negative parabolic drift. The argument uses a relation between integrals of special functions, in particular involving integrals with respect to functions which can be called "incomplete Scorer functions". The relation is proved by showing that both integrals, as a function of two parameters, satisfy the same extended heat equation, and the maximum principle is used to show that these solution must therefore have the stated relation. Once this relation is established, a direct derivation of the distribution of the maximum and location of the maximum of Brownian motion minus a parabola is possible, leading to a considerable shortening of the original proofs.

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Cites work

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Cited in

(9)

• The aczel—chung equation in distributions
• Some developments in the theory of shape constrained inference
• Rejoinder
• Confidence intervals for the current status model
• A conversation with Jon Wellner
• Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression
• Trimmed mean isotonic regression
• The maximum of Brownian motion minus a parabola
• Scalar conservation laws with white noise initial data

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