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
Descriptors:
Subject Categories:
- Statistics and Probability