The value and location of the maximum of brownian motion | IEEE Journals & Magazine | IEEE Xplore

The value and location of the maximum of brownian motion


Abstract:

A derivation is given, using the reflection principle, of the distribution of the value and location of the maximum on an interval of Brownian motion with known end-point...Show More

Abstract:

A derivation is given, using the reflection principle, of the distribution of the value and location of the maximum on an interval of Brownian motion with known end-point values. The density of the location is infinite at the end point of greater value and decreases monotonically to zero at the other. A procedure is briefly discussed for using the distribution in a pointwise sequential search for the location of the maximum.
Published in: IEEE Transactions on Automatic Control ( Volume: 13, Issue: 5, October 1968)
Page(s): 591 - 592
Date of Publication: 31 October 1968

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