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.
Citation
Piet Groeneboom. "The Maximum of Brownian Motion Minus a Parabola." Electron. J. Probab. 15 1930 - 1937, 2010. https://doi.org/10.1214/EJP.v15-826
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