The Slepian zero set, and Brownian bridge embedded in Brownian motion by a spacetime shift

DOI10.1214/EJP.V20-3911MaRDI QIDQ2515928zbMATH OpenOpenAlexFDO

Authors Wenpin Tang, Jim Pitman

Publication date 7 August 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.0040

zbMATH Keywords

absolute continuityBrownian bridgeBrownian motionlocal timesmoving-window processpalm measurepath decompositionrandom walk approximationSlepian zero setstationary processesvon Neumann's rejection sampling

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sample path properties (60G17) Sums of independent random variables; random walks (60G50) Local time and additive functionals (60J55) Brownian motion (60J65)

Abstract: This paper is concerned with various aspects of the Slepian process $(B_{t+1}-B_t,tge0)$ derived from a one-dimensional Brownian motion $(B_t,tge0)$. In particular, we offer an analysis of the local structure of the Slepian zero set $t:B_{t+1}=B_t$, including a path decomposition of the Slepian process for $0letle1$. We also establish the existence of a random time $T$ such that $T$ falls in the the Slepian zero set almost surely and the process $(B_{T+u}-B_T,0leule1)$ is standard Brownian bridge.

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Cited in

(11)

• Transporting random measures on the line and embedding excursions into Brownian motion
• The joint distribution of running maximum of a Slepian process
• Approximating Shepp's constants for the Slepian process
• The Cameron-Martin theorem for (\(p\)-)Slepian processes
• Shift–Coupling and Maximality
• Boundary non-crossing probabilities for Slepian process
• Karhunen-Loeve expansion for the additive two-sided Brownian motion
• Equidecomposition in cardinal algebras
• Transportation of diffuse random measures on \(\mathbb{R}^d\)
• Self-similar co-ascent processes and Palm calculus
• Construction and characterization of stationary and mass-stationary random measures on \(\mathbb{R}^d\)

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