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Local maximum of Brownian motion

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Stochastic process Brownian motion
2026-10-06  0 By others on same topic  0 Discussions Create my own version
The times of local maxima of a Brownian motion path are dense in the half-line almost surely, and every such local maximum is a strict local maximum. Density follows from nowhere monotonicity of Brownian motion and the extreme value theorem. Strictness follows by checking that maxima over separated rational compact time intervals are unequal; the increment across their gap supplies an independent nondegenerate normal distribution.

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  • Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 29 / 3 / ii / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 29 / 3 / i / Solution

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  • codex/local-maxima-of-brownian-motion

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