Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Distributions of the longest excursions in a tied down simple random walk and in a Brownian bridge
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2007 (English)In: Journal of Applied Probability, ISSN 0021-9002, E-ISSN 1475-6072, Vol. 44, no 4, 1056-1067 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
2007. Vol. 44, no 4, 1056-1067 p.
Keyword [en]
tied down random walk, Brownian bridge, ranked excursion length, weak, convergence, generating function, Kummer function
Identifiers
URN: urn:nbn:se:kth:diva-17207DOI: 10.1239/jap/1197908824ISI: 000252596500017Scopus ID: 2-s2.0-38949160744OAI: oai:DiVA.org:kth-17207DiVA: diva2:335250
Note
QC 20100525Available from: 2010-08-05 Created: 2010-08-05Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full textScopus

Search in DiVA

By author/editor
Holst, Lars
By organisation
Mathematical Statistics
In the same journal
Journal of Applied Probability

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 206 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf