Moments of gamma type and the Brownian supremum process area

DOI10.1214/10-PS160MaRDI QIDQ980784zbMATH OpenFDO

Authors Svante Janson

Publication date 29 June 2010

Published in Probability Surveys (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1002.4135, https://eudml.org/doc/227681

zbMATH Keywords

gamma functionmomentsBrownian motionsupremum processgeneralized Pólya urns

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

Abstract: We study positive random variables whose moments can be expressed by products and quotients of Gamma functions; this includes many standard distributions. General results are given on existence, series expansion and asymptotics of density functions. It is shown that the integral of the supremum process of Brownian motion has moments of this type, as well as a related random variable occuring in the study of hashing with linear displacement, and the general results are applied to these variables.

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Cited in

(28)

• On the supremum of products of symmetric stable processes
• Combinatorial analysis of growth models for series-parallel networks
• The log-Lévy moment problem via Berg-Urbanik semigroups
• Local and global degree profiles of randomly grown self-similar hooking networks under uniform and preferential attachment
• Explicit characterization of moments of balanced triangular Pólya urns by an elementary approach
• A remark on positive sojourn times of symmetric processes
• Addendum to ``Moments of gamma type and the Brownian supremum process area
• Distribution of the integral of maximum processes and applications
• On the infinite divisibility of inverse beta distributions
• On the Truncation Error of a Superposed Gamma Process
• On moment sequences and mixed Poisson distributions
• The area under a spectrally positive stable excursion and other related processes
• On martingale tail sums in affine two-color urn models with multiple drawings
• On the log-concavity of the Wright function
• Fine asymptotics for models with Gamma type moments
• Periodic P\'olya urns and an application to Young tableaux
• Degree asymptotics with rates for preferential attachment random graphs
• Pólya urns via the contraction method
• On generalized stable and related laws
• Persistence of integrated stable processes
• Fox-\(H\) densities and completely monotone generalized Wright functions
• Computation of moments for the length of the one dimensional {ISE} support
• Limit laws for UGROW random graphs
• Density solutions to a class of integro-differential equations
• The degree profile and weight in Apollonian networks and \(k\)-trees
• Periodic Pólya urns, the density method and asymptotics of Young tableaux
• On some new moments of Gamma type
• New properties and representations for members of the power-variance family. II

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