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Chernoff’s density is log-concave. (English) Zbl 1294.60100

Chernoff density, i.e., the density of argmax\((W(t) - t^2)\) for a two-sided Brownian motion \(W\), is shown to be log-concave. A stronger form of log-concavity is conjectured and a partial proof thereof is provided. The proof uses a characterization of Pólya frequency functions due to Schoenberg and a representation for Airy functions due to Merkes and Salmassi.

MSC:

60J65 Brownian motion
60E99 Distribution theory

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DLMF
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