Accession Number : AD0687617

Title :   THE VALUE AND LOCATION OF THE MAXIMUM OF BROWNIAN MOTION.

Corporate Author : DEFENCE STANDARDS LABS MARIBYRNONG (AUSTRALIA)

Report Date : 17 APR 1968

Pagination or Media Count : 2

Abstract : A derivation is given, using the reflection principle, of the distribution of the value and location of the maximum on an interval of Brownian motion with known end-point values. the density of the location is infinite at the end point of greater value and decreases monotonically to zero at the other. A procedure is breifly discussed for using the distribution in a pointwise sequential search for the location of the maximum. (Author)

Descriptors :   (*BROWNIAN MOTION, *DISTRIBUTION FUNCTIONS), (*SEQUENTIAL ANALYSIS, BROWNIAN MOTION), SAMPLING, STATISTICAL PROCESSES, APPROXIMATION(MATHEMATICS), AUSTRALIA

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE