On expected occupation time of Brownian bridge

Zhiyi Chi, Vladimir Pozdnyakov and Jun Yan

Statistics & Probability Letters, 2015, vol. 97, issue C, 83-87

Abstract: Consider a Brownian bridge from 0 to c>0. It is known that the density of the expected occupation time by the Brownian bridge is constant in [0,c]. We give a simple elementary proof for this result based on a direct examination of the corresponding integral. The expected occupation time plays an important role in the analysis of animal movement.

Keywords: Expected occupation time; Brownian motion; Brownian bridge; Animal movement (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.11.009

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