Svante Janson ; Guy Louchard ; Anders Martin-Löf - The maximum of Brownian motion with parabolic drift (Extended abstract)

dmtcs:2766 - Discrete Mathematics & Theoretical Computer Science, January 1, 2010, DMTCS Proceedings vol. AM, 21st International Meeting on Probabilistic, Combinatorial, and Asymptotic Methods in the Analysis of Algorithms (AofA'10) - https://doi.org/10.46298/dmtcs.2766
The maximum of Brownian motion with parabolic drift (Extended abstract)Article

Authors: Svante Janson 1,2; Guy Louchard 3; Anders Martin-Löf 4

We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. This has some applications in algorithmic and data structures analysis. We give series expansions and integral formulas for the distribution and the first two moments, together with numerical values to high precision.


Volume: DMTCS Proceedings vol. AM, 21st International Meeting on Probabilistic, Combinatorial, and Asymptotic Methods in the Analysis of Algorithms (AofA'10)
Section: Proceedings
Published on: January 1, 2010
Imported on: January 31, 2017
Keywords: Brownian motion,parabolic drift,Airy functions.,[INFO.INFO-DS] Computer Science [cs]/Data Structures and Algorithms [cs.DS],[MATH.MATH-CO] Mathematics [math]/Combinatorics [math.CO],[INFO.INFO-DM] Computer Science [cs]/Discrete Mathematics [cs.DM],[INFO.INFO-CG] Computer Science [cs]/Computational Geometry [cs.CG]

Consultation statistics

This page has been seen 197 times.
This article's PDF has been downloaded 203 times.