On the Integral of the Absolute Value of the Pinned Wiener Process
Shepp, L. A.
Ann. Probab., Tome 10 (1982) no. 4, p. 234-239 / Harvested from Project Euclid
Let $\tilde{W} = \tilde{W}_t, 0 \leq t \leq 1$, be the pinned Wiener process and let $\xi = \int^1_0|\tilde{W}|$. We show that the Laplace transform of $\xi, \phi(s) = Ee^{-\xi s}$ satisfies \begin{equation*}\tag{*}\int^\infty_0 e^{-us}\phi(\sqrt 2 s^{3/2})s^{-1/2} ds = - \sqrt \pi Ai(u)/Ai'(u)\end{equation*} where $Ai$ is Airy's function. Using $(\ast)$, we find a simple recurrence for the moments, $E\xi^n$ (which seem to be difficult to calculate by direct or by other techniques) namely $E\xi^n = e_n \sqrt \pi(36 \sqrt 2)^{-n}/\Gamma \big(\frac{3n + 1}{2}\big)$ where $e_0 = 1, g_k = \Gamma(3k + \frac{1}{2})/\Gamma(k + \frac{1}{2})$ and for $n \geq 1$, $e_n = g_n + \sum^n_{k=1} e_{n-k}\binom{n}{k} \frac{6k + 1}{6k - 1} g_k.$
Publié le : 1982-02-14
Classification:  Airy,  moments,  Kac's method,  Karhunen-Loeve,  60G99,  60E05
@article{1176993926,
     author = {Shepp, L. A.},
     title = {On the Integral of the Absolute Value of the Pinned Wiener Process},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 234-239},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993926}
}
Shepp, L. A. On the Integral of the Absolute Value of the Pinned Wiener Process. Ann. Probab., Tome 10 (1982) no. 4, pp.  234-239. http://gdmltest.u-ga.fr/item/1176993926/