×

The maximum of Brownian motion minus a parabola. (English) Zbl 1226.60110

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

MSC:

60J65 Brownian motion
60G70 Extreme value theory; extremal stochastic processes
PDF BibTeX XML Cite
Full Text: DOI arXiv EMIS