Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments (Q1772386)

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Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments
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    Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments (English)
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    18 April 2005
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    \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 \( n\rightarrow \infty .\)
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    Brownian bridge
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    Airy functions
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    moments
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    Laplace transform
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