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arXiv:1602.05500 [math.PR]AbstractReferencesReviewsResources

An Arctangent Law

Vassilis G. Papanicolaou

Published 2016-02-16Version 1

Let $M_r$ be the maximum value of an one-dimensional Brownian motion on the (time) interval $[0, r]$. We derive an explicit formula for the distribution of the time required (after $r$) for the Brownian motion to exceed $M_r$.

Comments: 3 pages
Categories: math.PR
Subjects: 60J65
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