Moments of the location of the maximum of Brownian motion with parabolic drift

DOI10.1214/ECP.V18-2330MaRDI QIDQ742977zbMATH OpenFDO

Authors Svante Janson

Publication date 22 September 2014

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

Full work available at URL https://arxiv.org/abs/1209.3867

zbMATH Keywords

Brownian motionAiry functionparabolic driftChernoff's distribution

Mathematics Subject Classification ID

Brownian motion (60J65) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Abstract: We derive integral formulas, involving the Airy function, for moments of the time a two-sided Brownian motion with parabolic drift attains its maximum.

Cited in

(8)

• On the location of the maximum of a continuous stochastic process
• Chernoff's distribution and differential equations of parabolic and Airy type
• Some developments in the theory of shape constrained inference
• Scaling limit of a one-dimensional polymer in a repulsive i.i.d. environment
• The tail of the maximum of Brownian motion minus a parabola
• Probabilizing parking functions
• On the time of the maximum of Brownian motion with drift
• The birth of the strong components

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