Kac's formula, levy's local time and brownian excursion-Reference-Cited by-同舟云学术

Kac's formula, levy's local time and brownian excursion

Published:1984-09 Issue:3 Volume:21 Page:479-499
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Louchard G.

Abstract

Kac's formula for Brownian functionals and Levy's local time decomposition are shown to be useful tools in analysing Brownian excursion properties. These tools are applied to maximum, local time and area distributions. Some curious connections between some of these distributions are explained by simple probabilistic arguments.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference20 articles.

1. Brownian Excursion, theM/M/1 Queue and Their Occupation Times

2. Excursions in Brownian motion

3. On the excursion process of Brownian motion

4. Excursions of Brownian motion and bessel processes

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