Asymptotics of the distribution of the integral of the absolute value of the Brownian bridge for large arguments

DOI10.1214/aop/1019160114zbMath1130.60309MaRDI QIDQ2478196

Leonid Tolmatz

Publication date: 16 March 2008

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

Full work available at URL: https://projecteuclid.org/euclid.aop/1019160114

zbMATH Keywords

asymptotics; Brownian bridge; Airy functions

Mathematics Subject Classification ID

60G15: Gaussian processes

60J65: Brownian motion

Related Items

Small deviations for two classes of Gaussian stationary processes and \(L^p\)-functionals, \(0<p\leq\infty\), Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments, On the distribution of the square integral of the Brownian bridge, Two-sided bounds for degenerate processes with densities supported in subsets of \(\mathbb R^N\), The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options

Cites Work

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• On a Class of Markov Processes
• On the Average of a Certain Wiener Functional and a Related Limit Theorem in Calculus of Probability