Tail estimates for the Brownian excursion area and other Brownian areas

Details Tail estimates for the Brownian excursion area and other Brownian areas Tail estimates for the Brownian excursion area and other Brownian areas

2007-07-06

arxiv.org/abs/0707.0991v1

Mathematics

Probability

34 pages

Scientific paper

Several Brownian areas are considered in this paper: the Brownian excursion area, the Brownian bridge area, the Brownian motion area, the Brownian meander area, the Brownian double meander area, the positive part of Brownian bridge area, the positive part of Brownian motion area. We are interested in the asymptotics of the right tail of their density function. Inverting a double Laplace transform, we can derive, in a mechanical way, all terms of an asymptotic expansion. We illustrate our technique with the computation of the first four terms. We also obtain asymptotics for the right tail of the distribution function and for the moments. Our main tool is the two-dimensional saddle point method.

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