On a Brownian excursion law, I: convolution representations
arXiv:1303.5203
Abstract
This paper studies Brownian motion subject to the occurrence of a minimal length excursion below a given excursion level. The law of this process is determined. The characterization is explicit and shows by a layer construction how the law is built up over time in terms of the laws of sums of a given set of independent random variables.
17 pages