Probability that the maximum of the reflected Brownian motion over a finite interval \([0,t]\) is achieved by its last zero before \(t\).

DOI10.1214/ECP.v20-4279zbMath1329.60292arXiv1505.03274MaRDI QIDQ894488

Pierre Vallois, Agnès Lagnoux, Sabine Mercier

Publication date: 1 December 2015

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

Full work available at URL: https://arxiv.org/abs/1505.03274

zbMATH Keywords

gamma function; Bessel process; Brownian bridge; maximum; reflected Brownian motion; Brownian meander; local score

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

60J25: Continuous-time Markov processes on general state spaces

60J65: Brownian motion

60G17: Sample path properties