On the distribution of Brownian areas

DOI10.1214/aoap/1035463325zbMath0870.60035OpenAlexW1991440201MaRDI QIDQ1354834

Jon A. Wellner, Mihael Perman

Publication date: 1 September 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1035463325

zbMATH Keywords

momentsareaasymptotic distributionBrownian motionBrownian excursionBrownian bridgerecursion formulasinversionAiry functionsFeynman-Kacabsolute valuepositive part

Mathematics Subject Classification ID

Gaussian processes (60G15) Probability distributions: general theory (60E05) Stochastic processes (60G99)

Related Items (21)

On the distribution of ranked heights of excursions of a Brownian bridge. ⋮ On the distribution of the square integral of the Brownian bridge ⋮ Fluctuations of Omega-killed spectrally negative Lévy processes ⋮ The Integral of the Supremum Process of Brownian Motion ⋮ An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes ⋮ Joint distribution of first-passage time and first-passage area of certain Lévy processes ⋮ Asymptotic results for certain first-passage times and areas of renewal processes ⋮ INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL ⋮ On the area in the red of Lévy risk processes and related quantities ⋮ On the first-passage area of a one-dimensional jump-diffusion process ⋮ Stochastic areas of diffusions and applications ⋮ On the joint distribution of first-passage time and first-passage area of drifted Brownian motion ⋮ Linear functional equations with a catalytic variable and area limit laws for lattice paths and polygons ⋮ The Maximum Displacement for Linear Probing Hashing ⋮ Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments ⋮ Area Limit Laws for Symmetry Classes of Staircase Polygons ⋮ The area under a spectrally positive stable excursion and other related processes ⋮ An excursion approach to maxima of the Brownian bridge ⋮ Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates ⋮ Computing the covariance of two Brownian area integrals ⋮ Airy distribution function: from the area under a Brownian excursion to the maximal height of fluctuating interfaces

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