Generalized covariances of multi-dimensional Brownian excursion local times

DOI10.1007/10719839_46MaRDI QIDQ4508403zbMATH OpenFDO

Authors Guy Louchard

Publication date 3 October 2000

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/10719839_46

zbMATH Keywords

Brownian excursiongeneralized covarianceslocal time

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Queueing theory (aspects of probability theory) (60K25)

Review text

Expressions for the generalized covariances of multidimensional Brownian excursion local times are derived from corresponding density transforms. Typical applications are moments of the cost of structures such as M/G/1 queue, random trees, Markov stack or priority queue in Knuth's model. Brownian excursion area and a result of Biane and Yor are also revisited. For the entire collection see [Zbl 0935.00049].

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Cited in

(4)

• Generalized covariances of multi-dimensional Brownian excursion local times.
• Local correlation dimension of multidimensional stochastic process
• Local Hölder exponent estimation for multivariate continuous time processes
• The Brownian excursion multi-dimensional local time density

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