On a Brownian excursion law, I: convolution representations
Classical Analysis and ODEs
2013-03-22 v1
Abstract
This paper studies Brownian motion subject to the occurrence of a minimal length excursion below a given excursion level. The law of this process is determined. The characterization is explicit and shows by a layer construction how the law is built up over time in terms of the laws of sums of a given set of independent random variables.
Cite
@article{arxiv.1303.5203,
title = {On a Brownian excursion law, I: convolution representations},
author = {Michael Schröder},
journal= {arXiv preprint arXiv:1303.5203},
year = {2013}
}
Comments
17 pages