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Calculating the mean and percentiles of a distribution function

  1. Dec 1, 2009 #1
    I have a fairly complicated pdf for Brownian motion with drift for first passage time and would like to calculate the mean and percentiles of the pdf. Is there a straightforward way of going about this? I can plot the distribution.
     
  2. jcsd
  3. Dec 1, 2009 #2
    For the percentiles you'll need the cdf.
     
  4. Dec 2, 2009 #3

    EnumaElish

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    I'll suggest simulation; unless you need to express them as algebraic expressions.
     
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