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arXiv · 1011.0022

The maximum of Brownian motion minus a parabola

Piet Groeneboom
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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.

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Piet Groeneboom. 2010-10-29. The maximum of Brownian motion minus a parabola. https://arxiv.org/abs/1011.0022

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