A construction of the Brownian path from BES^ 3 pieces

DOI10.1016/0304-4149(92)90067-ZMaRDI QIDQ1201899zbMATH OpenOpenAlexFDO

Authors J. P. Imhof

Publication date 17 January 1993

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(92)90067-z

zbMATH Keywords

Bessel processesBrownian motionhitting timelocal extremapath decomposition

Mathematics Subject Classification ID

Distribution theory (60E99) Sample path properties (60G17) Brownian motion (60J65)

Review text

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.

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• On the range of Brownian motion and its inverse process
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Cited in

(10)

• Random Brownian scaling identities and splicing of Bessel processes
• Decomposing the Brownian path via the range process
• The value of the high, low and close in the estimation of Brownian motion
• Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians
• Range of Brownian motion with drift
• On first range times of linear diffusions
• Construction of the paths of Brownian motions on star graphs. I
• Skorohod-reflection of Brownian Paths and BES^3
• Diffusion arrêtée au premier instant où l'amplitude atteint un niveau donné
• Run length statistics and the Hurst exponent in random and birth-death random walks.

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