The integral of the supremum process of Brownian motion

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dc.creatorJanson, Svante
dc.creatorPetersson, Niclas
dc.date2007-07-06
dc.date.accessioned2026-07-07T08:14:20Z
dc.date.available2026-07-07T08:14:20Z
dc.descriptionIn this paper we study the integral of the supremum process of standard Brownian motion. We present an explicit formula for the moments of the integral (or area) A(T), covered by the process in the time interval [0,T]. The Laplace transform of A(T) follows as a consequence. The main proof involves a double Laplace transform of A(T) and is based on excursion theory and local time for Brownian motion.
dc.description9 pages, 1 figure
dc.identifierhttps://arxiv.org/abs/0707.0989
dc.identifierhttp://arxiv.org/abs/0707.0989
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/133086
dc.subjectProbability
dc.subject60J65, 60J55
dc.titleThe integral of the supremum process of Brownian motion
dc.typetext

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