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2013 Moments of the location of the maximum of Brownian motion with parabolic drift
Svante Janson
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Electron. Commun. Probab. 18: 1-8 (2013). DOI: 10.1214/ECP.v18-2330

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.<br />

Citation

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Svante Janson. "Moments of the location of the maximum of Brownian motion with parabolic drift." Electron. Commun. Probab. 18 1 - 8, 2013. https://doi.org/10.1214/ECP.v18-2330

Information

Accepted: 27 February 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1306.60114
MathSciNet: MR3037213
Digital Object Identifier: 10.1214/ECP.v18-2330

Subjects:
Primary: 60J65

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