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

DOI10.1016/J.JMAA.2014.10.051zbMATH Open1382.60106arXiv1305.6053OpenAlexW2962804144MaRDI QIDQ472386FDOQ472386

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)

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.

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

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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)

Cites Work

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Cited In (9)

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

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