The Brownian excursion area: A numerical analysis
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Publication:1060829
DOI10.1016/0898-1221(84)90071-3zbMath0569.65097OpenAlexW2037685635MaRDI QIDQ1060829
Publication date: 1984
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0898-1221(84)90071-3
Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Probabilistic methods, stochastic differential equations (65C99)
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Uses Software
Cites Work
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- On the integral of the absolute value of the pinned Wiener process
- The integral of the absolute value of the pinned Wiener process - calculation of its probability density by numerical integration
- Kac's formula, levy's local time and brownian excursion
- Brownian Excursion, the M/M/1 Queue and Their Occupation Times
- Efficient Evaluation of Integrals of Analytic Functions by the Trapezoidal Rule
