An arctangent law

作者：Papanicolaou Vassilis G^*

来源：Statistics & Probability Letters, 2016, 116: 62-64.

DOI：10.1016/j.spl.2016.04.018

• Brownian motion
• Maximum value on an interval

Let M-r be the maximum value of a one-dimensional Brownian motion on the (time) interval [0, r]. We derive an explicit formula for the distribution of the time required (after r) for the Brownian motion to exceed M-r.

• 出版日期2016-9