Moments of Gamma type and the Brownian supremum process area

Abstract

We study positive random variables whose moments can be expressed by products and quotients of Gamma functions; this includes many standard distributions. General results are given on existence, series expansion and asymptotics of density functions. It is shown that the integral of the supremum process of Brownian motion has moments of this type, as well as a related random variable occurring in the study of hashing with linear displacement, and the general results are applied to these variables. Addendum: An addendum is published in Probability Surveys 7 (2010) 207–208 .