On the Integral of the Absolute Value of the Pinned Wiener Process
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Penn collection
Statistics Papers
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airy
moments
Kac's method
Karhunen-Loeve
Probability
moments
Kac's method
Karhunen-Loeve
Probability
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Shepp, Larry A
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Abstract
Let W~=W~t,0≤t≤1, be the pinned Wiener process and let ξ = ∫10|W~|. We show that the Laplace transform of ξ,ϕ(s)=Ee−ξs satisfies ∫∞0 e−us ϕ(2√s3/2)s−1/2 ds = −√π Ai(u)/Ai′(u) where Ai is Airy's function. Using (∗), we find a simple recurrence for the moments, Eξn (which seem to be difficult to calculate by direct or by other techniques) namely Eξn = en√π(36√2)−n/Γ(3n+1/2) where e0 = 1,gk = Γ(3k+1/2)/Γ(k+1/2) and for n ≥ 1, en=gn+∑nk=1en−k(n k) (6k+1)/(6k−1) gk.
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1982
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The Annals of Probability