Constructions of a Brownian path with a given minimum

DOI10.1214/ECP.V4-1003MaRDI QIDQ1298337zbMATH OpenOpenAlexFDO

Authors Jean Bertoin, Jim Pitman, Juan Ruiz de Chávez

Publication date 22 August 1999

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/122914, http://www.emis.de/journals/EJP-ECP/EcpVol4/paper5.abs.html

zbMATH Keywords

Brownian motionpath transformation

Mathematics Subject Classification ID

Brownian motion (60J65)

Cited in

(7)

• \(\varepsilon\)-strong simulation of the Brownian path
• Construction of the paths of Brownian motions on star graphs. I
• Interpolation for partly hidden diffusion processes
• The value of the high, low and close in the estimation of Brownian motion
• A random walk on \(\mathbb Z\) with drift driven by its occupation time at zero
• Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory
• Shifting processes with cyclically exchangeable increments at random

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