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Kac's formula, levy's local time and brownian excursion

Published online by Cambridge University Press:  14 July 2016

G. Louchard
G. Louchard*
Affiliation:
Université Libre de Bruxelles
*
∗Postal address: Université Libre de Bruxelles, Faculté des Sciences, Laboratoire d'informatique Théorique, Campus Plaine CP 212, Boulevard du Triomphe, B-1050 Bruxelles, Belgium.
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Abstract

Kac's formula for Brownian functionals and Levy's local time decomposition are shown to be useful tools in analysing Brownian excursion properties. These tools are applied to maximum, local time and area distributions. Some curious connections between some of these distributions are explained by simple probabilistic arguments.

Keywords

BROWNIAN EXCURSION MAXIMUMLOCAL TIMEAREA
Type
Research Papers
Information
Journal of Applied Probability , Volume 21 , Issue 3 , September 1984 , pp. 479 - 499
Copyright
Copyright © Applied Probability Trust 1984 

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