On the time of the maximum of Brownian motion with drift (Q1885406)
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scientific article; zbMATH DE number 2111795
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the time of the maximum of Brownian motion with drift |
scientific article; zbMATH DE number 2111795 |
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On the time of the maximum of Brownian motion with drift (English)
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28 October 2004
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Summary: The distribution of the time at which Brownian motion with drift attains its maximum on a given interval is obtained by elementary methods. The proof depends on a remarkable integral identity involving Gaussian distribution functions.
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brownian motion with drift
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Girsanov's theorem
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integral identity
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0.9464557
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0.93323064
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0.92967856
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0.92072046
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0.91818804
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0.9173769
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