On the distribution of the square integral of the Brownian bridge

DOI10.1214/AOP/1020107767MaRDI QIDQ1872258zbMATH OpenOpenAlexFDO

Authors Leonid Tolmatz

Publication date 6 May 2003

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

Full work available at URL https://doi.org/10.1214/aop/1020107767

zbMATH Keywords

asymptoticsdistributionBrownian bridgeseries expansionsquare integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

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• An explicit formula for the c.d.f. of the \(L_ 1 \)norm of the Brownian bridge
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Asymptotics of the distribution of the integral of the absolute value of the Brownian bridge for large arguments
• On Distributions of Certain Wiener Functionals
• On the distribution of Brownian areas
• On the distribution of the integral of the absolute value of the Brownian motion
• 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

Cited in

(14)

• Asymptotics of the distribution of the integral of the absolute value of the Brownian bridge for large arguments
• Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
• On exact and asymptotic formulas for the distribution of the integral of a squared Brownian motion with drift
• A comparison of single and multiple changepoint techniques for time series data
• Method for constructing Stieltjes classes for M-indeterminate probability distributions
• The Brownian bridge as a flat integral
• Functionals of the Brownian Bridge
• Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments
• On the growth of the double Laplace-Stieltjes transform
• On the distribution of the norm for a multidimensional Brownian bridge
• Rank tests in regression model based on minimum distance estimates.
• Some results on the generalized Brownian bridge
• On path integrals for the high-dimensional Brownian bridge
• Symmetry characterizations of certain distributions, 1

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