Article ID Journal Published Year Pages File Type
7547988 Statistics & Probability Letters 2018 7 Pages PDF
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 σ-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
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