Two Bessel bridges conditioned never to collide, double Dirichlet series, and Jacobi theta function (Q937101)

The three-dimensional Bessel process \(X(t)\), started from \(x\geq 0\), is a diffusion process on \(\mathbb{R}_+\) defined as the radial part of the three-dimensional Brownian motion \({\mathbf B}(t)=(B_1(t),B_2(t),B_3(t))\), \(t\geq 0\), i.e. \(X(t)=|{\mathbf B}(t)|\), with \(X(0)=x\). The three-dimensional Bessel bridge (with duration 1, started from the origin) \(\widetilde X(t)\), \(t\in[0,1]\) is \(X(t)\) conditioned so as \(x=X(0)=0\) and \(X(1)=0\). Let \(H_1:=\max_{0\leq t\leq 1} \widetilde X(t)\) be the maximum value reached along the bridge. It was proved by \textit{P. Biane, J. Pitman} and \textit{M. Yor} [Bull. Am. Math. Soc., New Ser. 38, No. 4, 435--465 (2001; Zbl 1040.11061)] that \[ {\mathbf E}[H_1^s]=2\left( \frac {\pi}{2}\right)^{s/2}\xi(s),\quad s\in\mathbb{C} \] where \(\xi\) is the modified zeta function, defined in terms of the Riemann \(\zeta(s)\) as \[ \xi(s)= \frac{s(s-1)} {2\pi^{s/2}}\Gamma\left(\frac s2\right)\zeta(s). \] For \(\xi(s)\) Riemann found the integral representation \[ \xi(s)=\frac 12+ \frac 14 s(s-1)\int^\infty_1 (u^{s/2-1}+u^{(1-s)/2-1)})(\vartheta(u)-1)\, du \] where \(\vartheta\) is the Jacobi theta function \[ \vartheta(u)= \sum_{n\in\mathbb{Z}}e^{-\pi n^2u},\quad u>0. \] In the main result of this paper the authors extend the above result to a system of two Bessel bridges in which a noncolliding condition is imposed. More specifically they prove that, denoting \(H_2\) the maximal height reached in the double bridge, it holds \[ {\mathbf E}[H_2^s]= \big(\tfrac{\pi}{2}\big)^{s/2}\, \big[\tfrac{1}{24}(1-s)(s^2-2s+12)(2-sK_0(s))-4s(\vartheta (1\vartheta'(1)+2s(\vartheta'(1))^2)+s\xi_2(s)\big],\;s\in\mathbb{C}, \] where \[ K_0(s)=\int^\infty_1u^{s/2}(\vartheta^2(u)-1)\,du \] and \(\xi_2 (s)\) has an integral representation in terms of \(\vartheta\), \(\vartheta'\) and \(\vartheta''\) (cf eq. (2.8)). This result suggests the possibility that the connection between the conditional Brownian motion and the various number theoretical functions can be extended to many particle and multivariate systems.