We're sorry but this page doesn't work properly without JavaScript enabled. Please enable it to continue.
Feedback

Cherno's distribution and dierential equations of parabolic and Airy type

Formale Metadaten

Titel
Cherno's distribution and dierential equations of parabolic and Airy type
Serientitel
Anzahl der Teile
13
Autor
Mitwirkende
Lizenz
CC-Namensnennung - keine kommerzielle Nutzung - keine Bearbeitung 4.0 International:
Sie dürfen das Werk bzw. den Inhalt in unveränderter Form zu jedem legalen und nicht-kommerziellen Zweck nutzen, vervielfältigen, verbreiten und öffentlich zugänglich machen, sofern Sie den Namen des Autors/Rechteinhabers in der von ihm festgelegten Weise nennen.
Identifikatoren
Herausgeber
Erscheinungsjahr
Sprache

Inhaltliche Metadaten

Fachgebiet
Genre
Abstract
We give a direct derivation of the distribution of the maximum and the location of the maximum of one-sided and two-sided Brownian motion with a negative parabolic drift. The argument uses a relation between integrals of special functions, in particular involving integrals with respect to functions which can be called `incomplete Scorer functions'. The relation is proved by showing that both integrals, as a function of two parameters, satisfy the same extended heat equation, and the maximum principle is used to show that these solutions must therefore have the stated relation. Once this relation is established, a direct derivation of the distribution of the maximum and location of the maximum of Brownian motion minus a parabola is possible, leading to a considerable shortening of the original proofs.