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2015 Probability that the maximum of the reflected Brownian motion over a finite interval $[0,t]$ is achieved by its last zero before $t$.
Sabine Mercier, Agnès Lagnoux, Pierre Vallois
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Electron. Commun. Probab. 20: 1-9 (2015). DOI: 10.1214/ECP.v20-4279
Abstract

We calculate the probability $p_c$ that the maximum of a reflected Brownian motion $U$ is achieved on a complete excursion, i.e. $p_c:=P\big(\overline{U}(t)=U^*(t)\big)$ where $\overline{U}(t)$ (respectively $U^*(t)$) is the maximum of the process $U$ over the time interval $[0,t]$ (respectively $\big[0,g(t)\big]$ where $g(t)$ is the last zero of $U$ before $t$).

Sabine Mercier, Agnès Lagnoux, and Pierre Vallois "Probability that the maximum of the reflected Brownian motion over a finite interval $[0,t]$ is achieved by its last zero before $t$.," Electronic Communications in Probability 20(none), 1-9, (2015). https://doi.org/10.1214/ECP.v20-4279
Accepted: 8 September 2015; Published: 2015
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