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The distribution of the maximum Brownian excursion

Published online by Cambridge University Press:  14 July 2016

Douglas P. Kennedy
Douglas P. Kennedy*
Affiliation:
University of Cambridge
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Abstract

The distribution of the maximum of the unsigned scaled Brownian excursion process and of a modification of that process are derived. These distributions are related to the one-dimensional Brownian bridge.

Keywords

BROWNIAN MOTIONBROWNIAN EXCURSIONBROWNIAN BRIDGEWEAK CONVERGENCE
Type
Short Communications
Information
Journal of Applied Probability , Volume 13 , Issue 2 , June 1976 , pp. 371 - 376
Copyright
Copyright © Applied Probability Trust 1976 

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References

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