Open Access
Translator Disclaimer
January 2000 Asymptotics of the distribution of the integral of the absolute value of the Brownian bridge for large arguments
Leonid Tolmatz
Ann. Probab. 28(1): 132-139 (January 2000). DOI: 10.1214/aop/1019160114

Abstract

The distribution of the integral of the absolute value of the Brownian bridge was expressed by Cifarelli and independently by Johnson and Killeen in the form of a series. Rice obtained the corresponding probability density by numerical integration. Here we determine the exact tail asymptotics of this distribution, as well as the exact asymptotics of its density function for the large values of the argument.

Citation

Download Citation

Leonid Tolmatz. "Asymptotics of the distribution of the integral of the absolute value of the Brownian bridge for large arguments." Ann. Probab. 28 (1) 132 - 139, January 2000. https://doi.org/10.1214/aop/1019160114

Information

Published: January 2000
First available in Project Euclid: 18 April 2002

zbMATH: 1130.60309
MathSciNet: MR1756000
Digital Object Identifier: 10.1214/aop/1019160114

Subjects:
Primary: 60G15
Secondary: 60J65

Rights: Copyright © 2000 Institute of Mathematical Statistics

JOURNAL ARTICLE
8 PAGES


SHARE
Vol.28 • No. 1 • January 2000
Back to Top