A pathwise interpretation of the Gorin-Shkolnikov identity

DOI10.1214/16-ECP10zbMATH Open1346.60130arXiv1603.04537MaRDI QIDQ303685FDOQ303685

Authors: Yuu Hariya 

Publication date: 22 August 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: In a recent paper by Gorin and Shkolnikov (2016), they have found, as a corollary to their result relevant to random matrix theory, that the area below a normalized Brownian excursion minus one half of the integral of the square of its total local time, is identical in law with a centered Gaussian random variable with variance $1/12$. In this note, we give a pathwise interpretation to their identity; Jeulin's identity connecting normalized Brownian excursion and its local time plays an essential role in the exposition.

Full work available at URL: https://arxiv.org/abs/1603.04537

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zbMATH Keywords

local timeGorin-Shkolnikov identityJeulin's identitynormalized Brownian excursion

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55)

Cited In (3)

• Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions
• The Gorin-Shkolnikov identity and its random tree generalization
• Stochastic Airy semigroup through tridiagonal matrices

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