Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments (Q1772386)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments |
scientific article |
Statements
Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments (English)
0 references
18 April 2005
0 references
\textit{M. Perman} and \textit{J. A. Wellner} [Ann. Appl. Probab. 6, 1091--1111 (1996; Zbl 0870.60035)] derived the double Laplace transform of the distribution function of the integral of the positive part of the Brownian bridge. The present author first gives a straight-forward derivation of this transform and then derives the asymptotics of the corresponding distribution function for large values of the argument as well as of its \(n\)th moment as \( n\rightarrow \infty .\)
0 references
Brownian bridge
0 references
Airy functions
0 references
moments
0 references
Laplace transform
0 references
0 references