
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 endpoint 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