Abstract
The distribution of the time at which Brownian motion with drift attains its maximum on a given interval is obtained by elementary methods. The proof depends on a remarkable integral identity involving Gaussian distribution functions.
Open Access
On the time of the maximum of Brownian motion with drift
Received01 Oct 2002
Revised01 Mar 2003
Copyright
Copyright © 2003 Hindawi Publishing Corporation. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.