On the Brownian meander and excursion conditioned to have a fixed time average

2006/05/29 by Lorenzo Zambotti, Zambotti, Lorenzo
Economics, Econometrics and Finance · Mathematics · #60G15 #60J65 #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR #msc:60G15 #msc:60J65

paper · pdf · doi:10.48550/arxiv.math/0605720

openalex publication_date 2006/05/29 · arxiv created 2007/02/04 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study the density of the time average of the Brownian meander/excursion over the time interval [0,1]. Moreover we give an expression for the Brownian meander/excursion conditioned to have a fixed time average.

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