Sur la loi conjointe du maximum et de l'inverse du temps local du mouvement brownien: application a un theoreme de knight (Q3977282)

Let \(\tau\) be the inverse at time 1 of the local time at 0 of a real- valued Brownian motion \(B\) started at 0. A decomposition of the Brownian path on the interval \([0,\tau]\) is obtained given the value of \(B_ \tau^*=\sup_{0\leq u\leq \tau}| B_ u|\). More precisely if \(\rho=\sup (0<t<\tau \mid B_ t=B_ \tau^*)\), \(g=\sup(0<t<\rho \mid B_ t=0)\) and \(d=\inf(t>\rho \mid B_ t=0)\), then given \((L_ \rho, B_ \tau^*)\) the four processes \((B_ u; 0\leq u\leq g)\), \((B_{g+u}; 0\leq u\leq \rho-g)\), \((B_{\rho+u}; 0\leq u\leq d-\rho)\), \((B_{d+u}; 0\leq u\leq \tau-d)\) are independent. Moreover, and always given \(L_ \rho=1\) and \(B_ \tau^*=x\), the laws of \((B_ u; 0\leq u\leq g)\), \((B_{d+u}; 0\leq u\leq \tau-d)\), \((| B_{g+u}|; 0\leq u\leq \rho-g)\), and \((| B_{d-u}|, 0\leq u\leq d-\rho)\) are described. This decomposition yields naturally a new approach to the computation of the joint law of \((\tau^*, B_{\tau^*})\) different of the computation of \textit{F. Knight} [Les processus stochastiques, Colloq. Paul Lévy, Palaiseau/Fr. 1987, Astérisque 157-158, 233-247 (1988; Zbl 0665.60072)].