On the distribution of the square integral of the Brownian bridge (Q1872258)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the distribution of the square integral of the Brownian bridge |
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On the distribution of the square integral of the Brownian bridge (English)
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6 May 2003
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Let \(F(y)\) be the distribution of the square integral of the Brownian bridge on [0,1], and let its density be \(f(y)\). The author computes the moments of \(F\), and develops asymptotic results for these moments. Furthermore, series expansions are given for both \(F\) and \(f\), and asymptotic results are deduced.
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Brownian bridge
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square integral
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distribution
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asymptotics
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series expansion
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