Article contents
Distributions of the Longest Excursions in a Tied Down Simple Random Walk and in a Brownian Bridge
Published online by Cambridge University Press: 14 July 2016
Abstract
Expressions for the joint distribution of the longest and second longest excursions as well as the marginal distributions of the three longest excursions in the Brownian bridge are obtained. The method, which primarily makes use of the weak convergence of the random walk to the Brownian motion, principally gives the possibility to obtain any desired joint or marginal distribution. Numerical illustrations of the results are also given.
Keywords
MSC classification
- Type
- Research Papers
- Information
- Copyright
- Copyright © Applied Probability Trust 2007
References
- 1
- Cited by