THE VALUE AND LOCATION OF THE MAXIMUM OF BROWNIAN MOTION.
DEFENCE STANDARDS LABS MARIBYRNONG (AUSTRALIA)
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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
- Statistics and Probability