Accession Number:

ADA012464

Title:

Functionals of Brownian Meander and Brownian Excursion.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CALIF DEPT OF OPERATIONS RESEARCH

Report Date:

1975-06-01

Pagination or Media Count:

30.0

Abstract:

Brownian meander and Brownian excursion processes arise as the limit process of a number of conditional functional central limit theorems. To reap the full benefit of such limit theorems one needs to know the distribution of functionals of the limit process. In this paper the distribution of the maxima, first entrance times, and expected occupation time densities are computed for the two limit processes. This is done by using the methods of weak convergence.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE