An arctangent law

Vassilis G. Papanicolaou

Statistics & Probability Letters, 2016, vol. 116, issue C, 62-64

Abstract: Let Mr 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 Mr.

Keywords: Brownian motion; Maximum value on an interval (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2016.04.018

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