An Arctangent Law
classification
🧮 math.PR
keywords
brownianmotiontimearctangentderivedistributionexceedexplicit
read the original abstract
Let $M_r$ be the maximum value of an one-dimensional Brownian motion on the (time) interval $[0, r]$. We derive an explicit formula for the distribution of the time required (after $r$) for the Brownian motion to exceed $M_r$.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.