Moments of the location of the maximum of Brownian motion with parabolic drift
Svante Janson
TL;DR
This paper derives integral formulas involving Airy functions to compute moments of the time at which a two-sided Brownian motion with parabolic drift reaches its maximum.
Contribution
It provides new integral formulas for moments related to the maximum location of Brownian motion with parabolic drift, advancing theoretical understanding.
Findings
Derived explicit integral formulas involving Airy functions.
Provided moments for the maximum location of Brownian motion with drift.
Enhanced analytical tools for stochastic process analysis.
Abstract
We derive integral formulas, involving the Airy function, for moments of the time a two-sided Brownian motion with parabolic drift attains its maximum.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsStochastic processes and financial applications · Holomorphic and Operator Theory · Random Matrices and Applications