Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling

DOI10.1051/ps/2015009zbMath1333.60181arXiv1311.1900OpenAlexW2963532176MaRDI QIDQ2786494

Mathieu Rosenbaum, Marc Yor

Publication date: 12 February 2016

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.1900

zbMATH Keywords

Bessel processBrownian motionBrownian bridgehitting timeslocal timesenlargement of filtrationBrownian meanderuniform samplingpseudo-Brownian bridge

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (3)

Shifting Processes with Cyclically Exchangeable Increments at Random ⋮ Random scaling and sampling of Brownian motion ⋮ Scaled Penalization of Brownian Motion with Drift and the Brownian Ascent

Cites Work

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• Semi-martingales et grossissement d'une filtration
• Moderate deviations for stable Markov chains and regression models
• On the expectation of normalized Brownian functionals up to first hitting times
• Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
• Empirical Processes with Applications to Statistics
• On the Law of a Triplet Associated with the Pseudo-Brownian Bridge

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