 |
Discrete Mathematics & Theoretical Computer Science |  |
Tolmatz, Leonid - The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion
dmtcs:3332 - Discrete Mathematics & Theoretical Computer Science, January 1, 2003, DMTCS Proceedings vol. AC, Discrete Random Walks (DRW'03)The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion
Authors: Tolmatz, Leonid
The distribution function of the integral of the absolute value of the Brownian motion was expressed by L.Takács in the form of various series. In the present paper we determine the exact tail asymptotics of this distribution function. The proposed method is applicable to a variety of other Wiener functionals as well.
Source : oai:HAL:hal-01183927v1
Volume: DMTCS Proceedings vol. AC, Discrete Random Walks (DRW'03)
Section: Proceedings
Published on: January 1, 2003
Submitted on: May 10, 2017
Keywords: Brownian motion,distribution,moments,asymptotics,saddle point,Airy functions.,[INFO.INFO-DS] Computer Science [cs]/Data Structures and Algorithms [cs.DS],[INFO.INFO-DM] Computer Science [cs]/Discrete Mathematics [cs.DM],[MATH.MATH-CO] Mathematics [math]/Combinatorics [math.CO],[INFO.INFO-CG] Computer Science [cs]/Computational Geometry [cs.CG]
Consultation statistics
This page has been seen 74 times.
This article's PDF has been downloaded 87 times.