DMTCS Proceedings, Discrete Random Walks, DRW'03

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DMTCS Conference vol AC (2003), pp. 309-324


Discrete Random Walks, DRW'03

Cyril Banderier and Christian Krattenthaler (eds.)

DMTCS Conference Volume AC (2003), pp. 309-324

author: Leonid Tolmatz
title: The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion
keywords: Brownian motion, distribution, moments, asymptotics, saddle point, Airy functions.
abstract: The distribution function of the integral of the absolute value of the Brownian motion was expressed by L.Takács in the form of various series. In the present paper we determine the exact tail asymptotics of this distribution function. The proposed method is applicable to a variety of other Wiener functionals as well.
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reference: Leonid Tolmatz (2003), The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion, in Discrete Random Walks, DRW'03, Cyril Banderier and Christian Krattenthaler (eds.), Discrete Mathematics and Theoretical Computer Science Proceedings AC, pp. 309-324
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