The moments of the area under reflected Brownian bridge conditional on its local time at zero

DOI10.1155/S1048953300000137zbMath0965.60081OpenAlexW2150831438MaRDI QIDQ1580049

Frank B. Knight

Publication date: 5 August 2001

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/48834

zbMATH Keywords

Brownian bridgelocal timeKac formulaHermite equationsPitman process

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60)

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