On the distribution of the square integral of the Brownian bridge

DOI10.1214/aop/1020107767zbMath1018.60039OpenAlexW2038971602MaRDI QIDQ1872258

Leonid Tolmatz

Publication date: 6 May 2003

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

Full work available at URL: https://doi.org/10.1214/aop/1020107767

zbMATH Keywords

distributionasymptoticsseries expansionBrownian bridgesquare integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

Related Items (7)

A comparison of single and multiple changepoint techniques for time series data ⋮ Rank tests in regression model based on minimum distance estimates ⋮ Unnamed Item ⋮ On exact and asymptotic formulas for the distribution of the integral of a squared Brownian motion with drift ⋮ Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments ⋮ Method for constructing Stieltjes classes for \(M\)-indeterminate probability distributions ⋮ Functionals of the Brownian Bridge

Cites Work

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• An explicit formula for the c.d.f. of the \(L_ 1 \)norm of the Brownian bridge
• 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
• On the distribution of the integral of the absolute value of the Brownian motion
• On the distribution of Brownian areas
• Asymptotics of the distribution of the integral of the absolute value of the Brownian bridge for large arguments
• On Distributions of Certain Wiener Functionals
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

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