A construction of the Brownian path from \(\mathbf{BES}^ 3\) pieces (Q1201899): Difference between revisions
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Revision as of 14:14, 17 May 2024
scientific article
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English | A construction of the Brownian path from \(\mathbf{BES}^ 3\) pieces |
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A construction of the Brownian path from \(\mathbf{BES}^ 3\) pieces (English)
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17 January 1993
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Let \(X(t)\) be a standard one-dimensional Brownian motion. The author constructs a sequence of times \(\theta_ n\), \(n\in\mathbb{Z}\), of local extrema, \(\theta_{-n}\to 0\), \(\theta_ n\to\infty\), \(n\to\infty\), such that the Brownian path decomposes into pieces \[ X^{(n)}=\{| X(\theta_ n+s)-X(\theta_ n)|,\;0\leq s\leq\theta_{n+1}-\theta_ n\},\quad n\in\mathbb{Z}, \] that behave like independent 3-dimensional Bessel processes run up to an appropriate hitting time.
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Brownian motion
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path decomposition
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local extrema
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Bessel processes
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hitting time
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