The Law of the Maximum of a Bessel Bridge
نویسنده
چکیده
Let Mδ be the maximum of a standard Bessel bridge of dimension δ. A series formula for P (Mδ ≤ a) due to Gikhman and Kiefer for δ = 1, 2, . . . is shown to be valid for all real δ > 0. Various other characterizations of the distribution of Mδ are given, including formulae for its Mellin transform, which is an entire function. The asymptotic distribution of Mδ is described both as δ → ∞ and as δ ↓ 0.
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تاریخ انتشار 1998