A construction of the Brownian path from \(\mathbf{BES}^ 3\) pieces (Q1201899): Difference between revisions

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.