Generalized covariances of multi-dimensional Brownian excursion local times

摘要

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. (C) 2002 Elsevier Science B.V. All rights reserved. [References: 23]