Probability density function of the local score position

Agnès Lagnoux, Sabine Mercier and Pierre Vallois

Stochastic Processes and their Applications, 2019, vol. 129, issue 10, 3664-3689

Abstract: We calculate the probability density function of the local score position on complete excursions of a reflected Brownian motion. We use the trajectorial decomposition of the standard Brownian bridge to derive two different expressions of the density: the first one is based on a series and an integral while the second one is free off the series.

Keywords: Reflected Brownian motion; Brownian bridge; Brownian excursions; Lindley process; Local score; Sequence analysis (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2018.10.008

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