On explicit occupation time distributions for Brownian processes

Gerard Hooghiemstra

Statistics & Probability Letters, 2002, vol. 56, issue 4, 405-417

Abstract: Explicit expressions for the occupation time distribution of Brownian bridge, excursion and meander are derived using Kac's formula and results of Durrett et al. (Ann. Probab. 5 (1977) 117). The first two distributions appeared in Takács (Meth. Comput. Appl. Probab. 1 (1999) 7), and were derived using weak convergence of simple random walk.

Keywords: Brownian; bridge; Excursion; Meander; Occupation; times; Sojourn; times (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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