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

Brownian motiongamma functiongeneralized Pólya urnsmomentssupremum process

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)

• Distribution of the integral of maximum processes and applications
• Density solutions to a class of integro-differential equations
• On the supremum of products of symmetric stable processes
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• Local and global degree profiles of randomly grown self-similar hooking networks under uniform and preferential attachment
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• The log-Lévy moment problem via Berg-Urbanik semigroups
• Addendum to ``Moments of gamma type and the Brownian supremum process area
• On martingale tail sums in affine two-color urn models with multiple drawings
• A remark on positive sojourn times of symmetric processes
• Persistence of integrated stable processes
• Periodic P\'olya urns and an application to Young tableaux
• Combinatorial analysis of growth models for series-parallel networks
• On the Truncation Error of a Superposed Gamma Process
• Fine asymptotics for models with Gamma type moments
• On the log-concavity of the Wright function
• Fox-H densities and completely monotone generalized Wright functions
• Periodic Pólya urns, the density method and asymptotics of Young tableaux
• On the infinite divisibility of inverse beta distributions

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