An Arctangent Law
Probability
2016-02-18 v1
Abstract
Let be the maximum value of an one-dimensional Brownian motion on the (time) interval . We derive an explicit formula for the distribution of the time required (after ) for the Brownian motion to exceed .
Keywords
Cite
@article{arxiv.1602.05500,
title = {An Arctangent Law},
author = {Vassilis G. Papanicolaou},
journal= {arXiv preprint arXiv:1602.05500},
year = {2016}
}
Comments
3 pages