Chernoff's distribution and parabolic partial differential equations
We give an alternative route to the derivation of the distribution of the maximum and the location of the maximum of one-sided and two-sided Brownian motion with a negative parabolic drift, using the Feynman-Kac formula with stopping times. The derivation also uses an interesting relations between integrals of special functions, in particular involving integrals with respect to functions which can be called ``incomplete Scorer functions". The relation is proved by showing that both integrals, as a function of two parameters, satisfy the same extended heat equation, and the maximum principle is used to show that these solution must therefore have the stated relation.
|Keywords||Feynman-Kac, stopping times, Scorer's function, Brownian motion, parabolic drift, parabolic partial differential equations|
|MSC||Brownian motion (msc 60J65)|
|THEME||Other (theme 6)|
Groeneboom, P, Lalley, S.P, & Temme, N.M. (2013). Chernoff's distribution and parabolic partial differential equations.