Moments of Gamma type and the Brownian supremum process area
نویسنده
چکیده
We study positive random variables whose moments can be expressed by products and quotients of Gamma functions; this includes many standard distributions. General results are given on existence, series expansion and asymptotics of density functions. It is shown that the integral of the supremum process of Brownian motion has moments of this type, as well as a related random variable occurring in the study of hashing with linear displacement, and the general results are applied to these variables.
منابع مشابه
The integral of the supremum process of Brownian motion
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Supplementary references and material are provided to the paper entitled ‘Moments of Gamma type and the Brownian supremum process area’, published in Probability Surveys 7 (2010) 1–52. AMS 2000 subject classifications: Primary 60E10; secondary 60J15. Received October 2010. I am grateful to Jim Pitman for pointing out several further relevant references. The integral (5.6) yielding the density f...
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