Dual representations of Laplace transforms of Brownian excursion and generalized meanders

Włodzimierz Bryc, Yizao Wang

Published 2017-06-06Version 1

The Laplace transform of the $d$-dimensional distribution of Brownian excursion is expressed as the Laplace transform of the $(d+1)$-dimensional distribution of an auxiliary Markov process, started from a $\sigma$-finite measure and with the roles of arguments and times interchanged. A similar identity holds for the Laplace transform of a generalized meander, which is expressed as the Laplace transform of the same auxiliary Markov process, with a different initial law.