Moments of the location of the maximum of Brownian motion with parabolic drift∗
نویسنده
چکیده
We derive integral formulas, involving the Airy function, for moments of the time a two-sided Brownian motion with parabolic drift attains its maximum.
منابع مشابه
The maximum of Brownian motion with parabolic drift ( Extended abstract )
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 n...
متن کاملThe Maximum of Brownian Motion with Parabolic Drift
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. We give new series expansions and integral formulas for the distribution and the first two moments, together with numerical values to high precision.
متن کاملEffects of heat generation/absorption on natural convection of nanofluids over the vertical plate embedded in a porous medium using drift-flux model
In this paper, natural convection heat transfer over a vertical plate in a Darcy porous medium saturated with a nanofluid subject to heat generation/absorption was theoretically studied. The governing partial differential equations were transformed to a set of ordinary differential equations using similarity transformations and solved using finite difference method. The influence of parametric ...
متن کاملEffects of Ground Motion Directionality on the Seismic Behavior of Mid-rise Concrete Buildings with Considering Unequal Live-Load Distribution in Height
The incident angle of ground motion is one of the sources of uncertainty in the seismic response of buildings. Moreover, understanding the structural response to the impose ground motion may cause significant changes in the maximum response of buildings. In order to investigate the effect of the spatial distribution of orthogonal components of earthquake strong motion on the structural response...
متن کاملThe Density-Driven Nanofluid Convection in an Anisotropic Porous Medium Layer with Rotation and Variable Gravity Field: A Numerical Investigation
In this study, a numerical examination of the significance of rotation and changeable gravitational field on the start of nanofluid convective movement in an anisotropic porous medium layer is shown. A model that accounts for the impact of Brownian diffusion and thermophoresis is used for nanofluid, while Darcy’s law is taken for the porous medium. The porous layer is subjected to uniform rotat...
متن کامل