The maximum of Brownian motion minus a parabola

DOI10.1214/EJP.V15-826MaRDI QIDQ638355zbMATH OpenOpenAlexFDO

Authors Piet Groeneboom

Publication date 9 September 2011

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.0022, http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle869c.html

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

Abstract: We derive a simple integral representation for the distribution of the maximum of Brownian motion minus a parabola, which can be used for computing the density and moments of the distribution, both for one-sided and two-sided Brownian motion.

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• Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression
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• Upper tail decay of KPZ models with Brownian initial conditions
• Finite-pool queueing with heavy-tailed services
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• Chernoff's distribution and differential equations of parabolic and Airy type
• The maximum of Brownian motion with parabolic drift (extended abstract)

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