Processes iterated ad libitum

Abstract: Consider the

n

th iterated Brownian motion

I^{(n)} = B_{n} c i r c c d o t s c i r c B_{1}

. Curien and Konstantopoulos proved that for any distinct numbers

t_{i} e q 0

,

(I^{(n)} (t_{1}), d o t s, I^{(n)} (t_{k}))

converges in distribution to a limit

I [k]

independent of the

t_{i}

's, exchangeable, and gave some elements on the limit occupation measure of

I^{(n)}

. Here, we prove under some conditions, finite dimensional distributions of

n

th iterated two-sided stable processes converge, and the same holds the reflected Brownian motions. We give a description of the law of

I [k]

, of the finite dimensional distributions of

I^{(n)}

, as well as those of the iterated reflected Brownian motion iterated ad libitum.

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