Electronic Journal of Probability

Tail estimates for the Brownian excursion area and other Brownian areas

Svante Janson and Guy Louchard

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Brownian areas are considered in this paper: the Brownian excursion area, the Brownian bridge area, the Brownian motion area, the Brownian meander area, the Brownian double meander area, the positive part of Brownian bridge area, the positive part of Brownian motion area. We are interested in the asymptotics of the right tail of their density function. Inverting a double Laplace transform, we can derive, in a mechanical way, all terms of an asymptotic expansion. We illustrate our technique with the computation of the first four terms. We also obtain asymptotics for the right tail of the distribution function and for the moments. Our main tool is the two-dimensional saddle point method.

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Electron. J. Probab. Volume 12 (2007), paper no. 58, 1600-1632.

Accepted: 23 December 2007
First available in Project Euclid: 1 June 2016

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Primary: AMS 2000 Subject Classification: 60J65

Brownian areas asymptotics for density functions right tail double Laplace transform two-dimensional saddle point method

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Janson, Svante; Louchard, Guy. Tail estimates for the Brownian excursion area and other Brownian areas. Electron. J. Probab. 12 (2007), paper no. 58, 1600--1632. doi:10.1214/EJP.v12-471. http://projecteuclid.org/euclid.ejp/1464818529.

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