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The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion

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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  • HAL Id : hal-01183927, version 1

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Leonid Tolmatz. The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion. Discrete Random Walks, DRW'03, 2003, Paris, France. pp.309-324. ⟨hal-01183927⟩

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