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

Svante Janson (Uppsala University)

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.

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Pages: 1-8

Publication Date: February 27, 2013

DOI: 10.1214/ECP.v18-2330

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