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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.
Cited literature [18 references]
https://hal.inria.fr/hal-01185564
Contributor : Coordination Episciences Iam <>
Submitted on : Thursday, August 20, 2015 - 4:31:58 PM
Last modification on : Thursday, June 4, 2020 - 10:34:02 AM
Long-term archiving on: : Wednesday, April 26, 2017 - 10:11:18 AM
Contributor : Coordination Episciences Iam <>
Submitted on : Thursday, August 20, 2015 - 4:31:58 PM
Last modification on : Thursday, June 4, 2020 - 10:34:02 AM
Long-term archiving on: : Wednesday, April 26, 2017 - 10:11:18 AM
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