DocumentCode
798256
Title
The value and location of the maximum of brownian motion
Author
Ternan, J.
Author_Institution
Australian Defense Scientific Service, Melbourne, Australia
Volume
13
Issue
5
fYear
1968
fDate
10/1/1968 12:00:00 AM
Firstpage
591
Lastpage
592
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 end-point 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 briefly discussed for using the distribution in a pointwise sequential search for the location of the maximum.
Keywords
Optimization methods; Contracts; Covariance matrix; Eigenvalues and eigenfunctions; Equations; Gaussian noise; Maximum likelihood estimation; Monte Carlo methods; Random variables; Transfer functions; Vectors;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1968.1098976
Filename
1098976
Link To Document