Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

In Wikipedia a formula is given for the distribution of $$M_t = \max_{0\leq s \leq t} W_s$$ even conditioned on $W_t$.

I wonder if there is also a simple expression for (note the absolute value) $$\tilde M_t = \max_{0\leq s \leq t} |W_s|$$ maybe conditioned on $|W_t|$?

share|improve this question
    
the derivation of $M_t$ comes from reflection principle. At moment, i cannot see how it would work for $\tilde{M}$ –  Lost1 Apr 10 '13 at 9:32

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.