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The Distribution of the Maximum Brownian Excursion
Douglas P. Kennedy
Journal of Applied Probability
Vol. 13, No. 2 (Jun., 1976), pp. 371-376
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3212843
Page Count: 6
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The distribution of the maximum of the unsigned scaled Brownian excursion process and of a modification of that process are derived. These distributions are related to the one-dimensional Brownian bridge.
Journal of Applied Probability © 1976 Applied Probability Trust