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Probability density function of the local score position

Authors
  • Lagnoux, Agnes
  • Mercier, Sabine
  • Vallois, Pierre
Publication Date
Jan 01, 2018
Source
HAL-UPMC
Keywords
Language
English
License
Unknown
External links

Abstract

We calculate the probability density function of the local score position on complete excursions of a reflected Brownian motion. We use the trajecto-rial 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.

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