Publication:1354834

DOI10.1214/AOAP/1035463325zbMATH Open0870.60035OpenAlexW1991440201MaRDI QIDQ1354834FDOQ1354834

Jon A. Wellner, Mihael Perman

Publication date: 1 September 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1035463325

zbMATH Keywords

momentsareaasymptotic distributionBrownian motioninversionBrownian bridgeAiry functionsBrownian excursionabsolute valueFeynman-Kacrecursion formulaspositive part

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Gaussian processes (60G15) Stochastic processes (60G99)

Cites Work

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• On the supremum of a certain Gaussian process
• On the distribution of the integral of the absolute value of the Brownian motion
• Kac's formula, levy's local time and brownian excursion
• Excursions of a Markov process
• Functionals of Brownian meander and Brownian excursion
• The Brownian excursion area: A numerical analysis
• Random walk processes and their applications in order statistics
• An explicit formula for the c.d.f. of the \(L_ 1 \)norm of the Brownian bridge
• On the integral of the absolute value of the pinned Wiener process
• The integral of the absolute value of the pinned Wiener process - calculation of its probability density by numerical integration
• A Comparative Study of Several One-Sided Goodness-of-Fit Tests
• Distribution of integral functionals of a Brownian motion process
• On the Average of a Certain Wiener Functional and a Related Limit Theorem in Calculus of Probability
• Über die Entwicklung einer beliebigen Funktion nach Laguerreschen Polynomen

Cited In (22)

• Linear functional equations with a catalytic variable and area limit laws for lattice paths and polygons
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
• The Integral of the Supremum Process of Brownian Motion
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• On the area in the red of Lévy risk processes and related quantities
• An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
• Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments
• An excursion approach to maxima of the Brownian bridge
• The area under a spectrally positive stable excursion and other related processes
• Joint distribution of first-passage time and first-passage area of certain Lévy processes
• Computing the covariance of two Brownian area integrals
• Stochastic areas of diffusions and applications
• Asymptotic results for certain first-passage times and areas of renewal processes
• Title not available (Why is that?)
• Airy distribution function: from the area under a Brownian excursion to the maximal height of fluctuating interfaces
• On the distribution of the square integral of the Brownian bridge
• The Maximum Displacement for Linear Probing Hashing
• Area Limit Laws for Symmetry Classes of Staircase Polygons
• Fluctuations of Omega-killed spectrally negative Lévy processes
• On the first-passage area of a one-dimensional jump-diffusion process
• On the distribution of ranked heights of excursions of a Brownian bridge.
• On the joint distribution of first-passage time and first-passage area of drifted Brownian motion

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