Extrema statistics of Wiener-Einstein processes in one,two, and three dimensions

The maxima and first-passage-time statistics of Wiener-Einstein processes are evaluated analytically in one, two, and three dimensions. We show that the mean square maximum displacement has the same time dependence as the mean square displacement, i.e., it grows linearly with time. The ratio of the mean square maximum to the mean square displacement is shown to decrease with increasing dimensionality. We also calculate the mean first passage time for the process to attain a given absolute displacement and find that it grows as the square of the displacementand is independent of the dimensionality of the process. In addition, we evaluate the dispersion of maxima and of first passage times and discuss their dependence on dimensionality.Supported in part by the National Science Foundation under Grant CHE 75-20624.