Volume 44, Issue 04 p1056-1067 (2007)
Expressions for the joint distribution of the longest and second longest excursions as well as the marginal distributions of the three longest excursions in the Brownian bridge are obtained. The method, which primarily makes use of the weak convergence of the random walk to the Brownian motion, principally gives the possibility to obtain any desired joint or marginal distribution. Numerical illustrations of the results are also given.
Archived Files and Locations
|application/pdf 194.8 kB ||
access all versions, variants, and formats of this works (eg, pre-prints)