Accession Number:

AD0687617

Title:

THE VALUE AND LOCATION OF THE MAXIMUM OF BROWNIAN MOTION.

Descriptive Note:

Corporate Author:

DEFENCE STANDARDS LABS MARIBYRNONG (AUSTRALIA)

Personal Author(s):

Report Date:

1968-04-17

Pagination or Media Count:

2.0

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 breifly discussed for using the distribution in a pointwise sequential search for the location of the maximum. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE