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arXiv · 1303.5203

On a Brownian excursion law, I: convolution representations

Michael Schröder
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Abstract

This paper studies Brownian motion subject to the occurrence of a minimal length excursion below a given excursion level. The law of this process is determined. The characterization is explicit and shows by a layer construction how the law is built up over time in terms of the laws of sums of a given set of independent random variables.

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Michael Schröder. 2013-03-21. On a Brownian excursion law, I: convolution representations. https://arxiv.org/abs/1303.5203

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