Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments |
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| Authors: | Leonid Tolmatz |
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| Institution: | Department of Mathematics, University of Manchester, Oxford Road, Manchester M13 9PL, United Kingdom |
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| Abstract: | The double Laplace transform of the distribution function of the integral of the positive part of the Brownian bridge was determined by M. Perman and J.A. Wellner, as well as the moments of this distribution. The purpose of the present paper is to determine the asymptotics of this distribution for large values of the argument, and the corresponding asymptotics of the moments. |
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| Keywords: | Distribution Moments Asymptotics Brownian bridge Airy functions Saddle point |
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