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  1. Home > Articles & Issues >
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  3. The Saddle Point Met ...
Conference paper

The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion

Leonid Tolmatz (1)
(1) School of Mathematics and Statistics
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Imported on
May 10, 2017
Published on
December 31, 2002
Last modified on
March 31, 2025
Volume 0
DMTCS Proceedings vol. AC, Discrete Random Walks (DRW'03)
Proceedings
DOI
10.46298/dmtcs.3332
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https://about.hal.science/hal-authorisation-v1
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The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion

Leonid Tolmatz (1)
(1) School of Mathematics and Statistics
Abstract
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.
Keywords
  • [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]
  • Brownian motion
  • distribution
  • moments
  • asymptotics
  • saddle point
  • Airy functions.
Cited by

Source: OpenCitations

  • Tail estimates for the Brownian excursion area and other Brownian areas

    Electronic Journal of Probability

    Authors : Svante Janson ORCID, Guy Louchard

    Journal reference : Volume 12, 2007, pp.

    DOI : 10.1214/ejp.v12-471
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