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. We give series expansions and integral formulas for the distribution and the rst two moments, together with numerical values to high precision
AbstractConsider a Brownian motion with a downward drift of rate a. Its maximum over all time has th...
International audienceLet (S t) t≥0 be the running maximum of a standard Brownian motion (B t) t≥0 a...
We analyze the tail behavior of the maximum $N$ of $\{W(t)-t^2:t\ge0\}$, where $W$ is standard Brown...
We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that oft...
We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that oft...
Abstract. We study the maximum of a Brownian motion with a par-abolic drift; this is a random variab...
Abstract. We study the extremal behavior of the stationary processes x\u85t V\u85t ÿ t and jx\u8...
The distribution of the time at which Brownian motion with drift attains its maximum on a given inte...
The maximum drawdown at time T of a random process on [0,T] can be defined informally as the largest...
We derive a simple integral representation for the distribution of the maximum of Brownian motion mi...
summary:If a stochastic process can be approximated with a Wiener process with positive drift, then ...
We give a direct derivation of the distribution of the maximum and the location of the maximum of on...
Related to risk and to hedging investors would be interested insupremum, infimum, maximum ...
International audienceLet (S t) t≥0 be the running maximum of a standard Brownian motion (B t) t≥0 a...
We derive, the joint probability density of the maximum), ( mtMP M and the time at which this maximu...
AbstractConsider a Brownian motion with a downward drift of rate a. Its maximum over all time has th...
International audienceLet (S t) t≥0 be the running maximum of a standard Brownian motion (B t) t≥0 a...
We analyze the tail behavior of the maximum $N$ of $\{W(t)-t^2:t\ge0\}$, where $W$ is standard Brown...
We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that oft...
We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that oft...
Abstract. We study the maximum of a Brownian motion with a par-abolic drift; this is a random variab...
Abstract. We study the extremal behavior of the stationary processes x\u85t V\u85t ÿ t and jx\u8...
The distribution of the time at which Brownian motion with drift attains its maximum on a given inte...
The maximum drawdown at time T of a random process on [0,T] can be defined informally as the largest...
We derive a simple integral representation for the distribution of the maximum of Brownian motion mi...
summary:If a stochastic process can be approximated with a Wiener process with positive drift, then ...
We give a direct derivation of the distribution of the maximum and the location of the maximum of on...
Related to risk and to hedging investors would be interested insupremum, infimum, maximum ...
International audienceLet (S t) t≥0 be the running maximum of a standard Brownian motion (B t) t≥0 a...
We derive, the joint probability density of the maximum), ( mtMP M and the time at which this maximu...
AbstractConsider a Brownian motion with a downward drift of rate a. Its maximum over all time has th...
International audienceLet (S t) t≥0 be the running maximum of a standard Brownian motion (B t) t≥0 a...
We analyze the tail behavior of the maximum $N$ of $\{W(t)-t^2:t\ge0\}$, where $W$ is standard Brown...
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