A construction of the Brownian path from \(\mathbf{BES}^ 3\) pieces

DOI10.1016/0304-4149(92)90067-ZzbMath0762.60071OpenAlexW2061688851MaRDI QIDQ1201899

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

Brownian motionBessel processeshitting timepath decompositionlocal extrema

Mathematics Subject Classification ID

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

Related Items (8)

Decomposing the Brownian path via the range process ⋮ Diffusion arrêtée au premier instant où l'amplitude atteint un niveau donné ⋮ Range of Brownian motion with drift ⋮ 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 ⋮ On first range times of linear diffusions ⋮ Random Brownian scaling identities and splicing of Bessel processes ⋮ Run length statistics and the Hurst exponent in random and birth-death random walks.

Cites Work

• On the range of Brownian motion and its inverse process
• Operational Derivation of Some Brownian Motion Results
• Brownian Local Times and Taboo Processes
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