Kac has considered the integral of the absolute value of a Brownian motion process and determined the Laplace-Stieltjes transform of the distribution function of this integral. In this paper explicit expressions are given for the distribution and the moments of this integral.
Publié le : 1993-02-14
Classification:
Brownian motion,
integral of the absolute value of the process,
distribution,
moments,
60G15
@article{1177005514,
author = {Takacs, Lajos},
title = {On the Distribution of the Integral of the Absolute Value of the Brownian Motion},
journal = {Ann. Appl. Probab.},
volume = {3},
number = {4},
year = {1993},
pages = { 186-197},
language = {en},
url = {http://dml.mathdoc.fr/item/1177005514}
}
Takacs, Lajos. On the Distribution of the Integral of the Absolute Value of the Brownian Motion. Ann. Appl. Probab., Tome 3 (1993) no. 4, pp. 186-197. http://gdmltest.u-ga.fr/item/1177005514/