pith. sign in

arxiv: 1505.03274 · v1 · pith:EZMMH7F5new · submitted 2015-05-13 · 🧮 math.PR

Probability that the maximum of the reflected Brownian motion over a finite interval [0,t] is achieved by its last zero before t

classification 🧮 math.PR
keywords maximumachievedbeforebrownianintervallastmotionoverline
0
0 comments X
read the original 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 $[0,t]$ (resp. $\big[0,g(t)\big]$ where $g(t)$ is the last zero of $U$ before $t$).

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.