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The maximum of brownian motion minus a parabola

Electronic Journal of Probability (2010) 15 1930-1937
DOI: 10.1214/EJP.v15-826
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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 . © 2010 Applied Probability Trust.

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APA

Groeneboom, P. (2010). The maximum of brownian motion minus a parabola. Electronic Journal of Probability, 15, 1930–1937. https://doi.org/10.1214/EJP.v15-826

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