On the Distribution of the Integral of the Absolute Value of the Brownian Motion

Authors
Takacs, Lajos
Citation
Takacs, Lajos, On the Distribution of the Integral of the Absolute Value of the Brownian Motion, Annals of applied probability , 3(1), 1993, pp. 186-197
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
3
Issue
1
Year of publication
1993
Pages
186 - 197
Database
ACNP
SICI code
Abstract
Kac has considered the integral of the absolute value of a Brownian motion process and determined the Laplace-Stieltjes transform of the distribution function of this integral. In this paper explicit expressions are given for the distribution and the moments of this integral.