Probability that the maximum of the reflected Brownian motion over a finite interval [0,t][0,t] is achieved by its last zero before tt

preprint2015arXivOpen access

Abstract

We calculate the probability pcp_c that the maximum of a reflected Brownian motion UU is achieved on a complete excursion, i.e. pc:=P(U‾(t)=U∗(t))p_c:=P\big(\overline{U}(t)=U^*(t)\big) where U‾(t)\overline{U}(t) (respectively U∗(t)U^*(t)) is the maximum of the process UU over the time interval [0,t][0,t] (resp. [0,g(t)]\big[0,g(t)\big] where g(t)g(t) is the last zero of UU before tt).

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