The maximum of Brownian motion with parabolic drift (Extended abstract)

Abstract : We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. This has some applications in algorithmic and data structures analysis. We give series expansions and integral formulas for the distribution and the first two moments, together with numerical values to high precision.
Type de document :
Communication dans un congrès
Drmota, Michael and Gittenberger, Bernhard. 21st International Meeting on Probabilistic, Combinatorial, and Asymptotic Methods in the Analysis of Algorithms (AofA'10), 2010, Vienna, Austria. Discrete Mathematics and Theoretical Computer Science, DMTCS Proceedings vol. AM, 21st International Meeting on Probabilistic, Combinatorial, and Asymptotic Methods in the Analysis of Algorithms (AofA'10), pp.427-438, 2010, DMTCS Proceedings
Liste complète des métadonnées

Littérature citée [18 références]  Voir  Masquer  Télécharger

https://hal.inria.fr/hal-01185564
Contributeur : Coordination Episciences Iam <>
Soumis le : jeudi 20 août 2015 - 16:31:58
Dernière modification le : mardi 7 mars 2017 - 15:07:46
Document(s) archivé(s) le : mercredi 26 avril 2017 - 10:11:18

Fichier

dmAM0130.pdf
Fichiers éditeurs autorisés sur une archive ouverte

Identifiants

  • HAL Id : hal-01185564, version 1

Collections

Citation

Svante Janson, Guy Louchard, Anders Martin-Löf. The maximum of Brownian motion with parabolic drift (Extended abstract). Drmota, Michael and Gittenberger, Bernhard. 21st International Meeting on Probabilistic, Combinatorial, and Asymptotic Methods in the Analysis of Algorithms (AofA'10), 2010, Vienna, Austria. Discrete Mathematics and Theoretical Computer Science, DMTCS Proceedings vol. AM, 21st International Meeting on Probabilistic, Combinatorial, and Asymptotic Methods in the Analysis of Algorithms (AofA'10), pp.427-438, 2010, DMTCS Proceedings. 〈hal-01185564〉

Partager

Métriques

Consultations de la notice

75

Téléchargements de fichiers

162