The maximum of Brownian motion minus a parabola

DOI10.1214/EJP.V15-826zbMATH Open1226.60110arXiv1011.0022OpenAlexW2031607490MaRDI QIDQ638355FDOQ638355

Authors: Piet Groeneboom 

Publication date: 9 September 2011

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

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.

Full work available at URL: https://arxiv.org/abs/1011.0022

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Mathematics Subject Classification ID

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

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• Some developments in the theory of shape constrained inference
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