In probability theory a Brownian excursion process is a stochastic process that is closely related to a Wiener process. Realisations of Brownian excursion processes are essentially just realizations of a Wiener process selected to satisfy certain conditions. In particular, a Brownian excursion process is a Wiener process conditioned to be positive and to take the value 0 at time 1. Alternatively, it is a Brownian bridge process conditioned to be positive. BEPs are important because, among other reasons, they naturally arise as the limit process of a number of conditional functional central limit theorems.
Definition
A Brownian excursion process,, is a Wiener process conditioned to be positive and to take the value 0 at time 1. Alternatively, it is a Brownian bridge process conditioned to be positive. Another representation of a Brownian excursion in terms of a Brownian motion process W is in terms of the last time that W hits zero before time 1 and the first time that Brownian motion hits zero after time 1: Let be the time that a Brownian bridge process achieves its minimum on . Vervaat shows that
Properties
Vervaat's representation of a Brownian excursion has several consequences for various functions of. In particular: and The following result holds: and the following values for the second moment and variance can be calculated by the exact form of the distribution and density: Groeneboom, Lemma 4.2 gives an expression for the Laplace transform of of. A formula for a certain double transform of the distribution of this area integral is given by Louchard. Groeneboom and Pitman give decompositions of Brownian motion in terms of i.i.d Brownian excursions and the least concave majorant of. For an introduction to Itô's general theory of Brownian excursions and the ItôPoisson process of excursions, see Revuz and Yor, chapter XII.
The Brownian excursion area arises in connection with the enumeration of connected graphs, many other problems in combinatorial theory; see e.g. and the limit distribution of the Betti numbers of certain varieties in cohomology theory. Takacs shows that has density where are the zeros of the Airy function and is the confluent hypergeometric function. Janson and Louchard show that and They also give higher-order expansions in both cases. Janson gives moments of and many other area functionals. In particular, Brownian excursions also arise in connection with queuing problems, railway traffic, and the heights of random rooted binary trees.
