Generalized covariances of multi-dimensional Brownian excursion local times

Authors:
Guy Louchard;John W. Turner
Affiliations:
Faculte des Sciences Département d'Informatique, Université Libre de Bruxelles, CP 212, Boulevard du Triomphe, B-1050 Bruxelles, Belgium;Université Libre de Bruxelles, Département de Physique, CP 231, Boulevard du Triomphe, B-1050 Bruxelles, Belgium
Venue:
Theoretical Computer Science - Latin American theoretical informatics
Year:
2003

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Abstract

Expressions for the generalized covariances of multi-dimensional Brownian excursion local times are derived from corresponding densities transforms. Typical applications are moments of the cost of structures such as M/G/1 queue, Random trees, Markov stack or priority queue in Knuth's model. Brownian excursion area and a result of Biane and Yor are also revisited.