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Time of the Brownian maximum (M∗)

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Brownian motion Brownian reflection principle Brownian running maximum
2026-09-28  0 By others on same topic  0 Discussions Create my own version
Brownian motion attains its maximum on [0,1] at a unique time M∗ almost surely. This time has the arcsine distribution
P(M∗≤s)=π2​arcsins​,0≤s≤1.
(1)

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  1. Brownian running maximum
  2. Brownian reflection principle
  3. Brownian motion
  4. Stochastic process
  5. Probability theory
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  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 201 / 5 / b / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 201 / 5 / c / Solution

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