On the excursion process of Brownian motion

Author:

Knight Frank B.

Abstract

Let W 0 + ( t ) W_0^ + \,(t) denote the scaled excursion process of Brownian motion, and let l 0 + ( a ) , 0 a , l_0^ + \,(a),\,0\, \leqslant \,a, be its local time at a. The joint distribution of l 0 + ( a ) , β ( a ) , l_0^ + \,(a),\,\beta (a), and γ ( a ) \gamma (a) is obtained, where β ( a ) \beta (a) and γ ( a ) \gamma (a) are the last exit time and the first passage time of a by W 0 + ( t ) W_0^{ + }\,(t) .

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference13 articles.

1. Excursions in Brownian motion;Chung, Kai Lai;Ark. Mat.,1976

2. Heuristic approach to the Kolmogorov-Smirnov theorems;Doob, J. L.;Ann. Math. Statistics,1949

3. Functionals of Brownian meander and Brownian excursion;Durrett, Richard T.;Ann. Probability,1977

4. Weak convergence to Brownian meander and Brownian excursion;Durrett, Richard T.;Ann. Probability,1977

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