Moments of gamma type and the Brownian supremum process area
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Publication:980784
DOI10.1214/10-PS160zbMATH Open1194.60019arXiv1002.4135MaRDI QIDQ980784FDOQ980784
Publication date: 29 June 2010
Published in: Probability Surveys (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1002.4135
Recommendations
Characteristic functions; other transforms (60E10) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)
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- Limit laws for UGROW random graphs
- The degree profile and weight in Apollonian networks and \(k\)-trees
- Density solutions to a class of integro-differential equations
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- Periodic Pólya urns, the density method and asymptotics of Young tableaux
- New properties and representations for members of the power-variance family. II
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