Moment Constants for Brownian Affine Approximation

Abstract

We evaluate moment constants for the times during which Brownian motion admits uniform approximation by an unrestricted affine function or by a line through the origin. The first four moments are rational linear combinations of $1$ and $\zeta (2j+1)/{\pi }^{2j}$, $1\le j\le 4$; the means are $40\zeta (3)/{\pi }^2-4/3$ and $21\zeta (3)/{\pi }^2$, respectively. Slope integration and a common contour argument give the unrestricted moments, while time inversion relates the anchored law to the reciprocal of Kingman's absorption time. For both models we also give exponential-integral series for the standardized absolute third central moments, with explicit truncation bounds.

arXiv comment19 pages, 1 table