Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7547988 | Statistics & Probability Letters | 2018 | 7 Pages |
Abstract
The Laplace transform of the d-dimensional distribution of Brownian excursion is expressed as the Laplace transform of the (d+1)-dimensional distribution of an auxiliary Markov process, started from a Ï-finite measure and with the roles of arguments and times interchanged. A similar identity holds for the Laplace transform of a generalized Brownian meander, which is expressed as the Laplace transform of the same auxiliary Markov process, with a different initial law.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
WÅodzimierz Bryc, Yizao Wang,