On the law of a triplet associated with the pseudo-Brownian bridge

DOI10.1007/978-3-319-11970-0_14MaRDI QIDQ4568494zbMATH OpenOpenAlexFDO

Authors Mathieu Rosenbaum, Marc Yor

Publication date 21 June 2018

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.7164

zbMATH Keywords

Bessel processBrownian motionhitting timeslocal timeMellin transformpseudo-Brownian bridgescalinguniform sampling

Mathematics Subject Classification ID

Brownian motion (60J65)

Abstract: We identify the distribution of a natural triplet associated with the pseudo-Brownian bridge. In particular, for $B$ a Brownian motion and $T_1$ its first hitting time of the level one, this remarkable law allows us to understand some properties of the process $(B_{u{T}_1}/sqrt{T}_1,uleq1)$ under uniform random sampling.

Recommendations

• Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
• scientific article; zbMATH DE number 4007398
• On an Identity in Law for the Variance of the Brownian Bridge
• On the expectation of normalized Brownian functionals up to first hitting times
• Publication:3028042

Cites work

• Brownian motion, bridge excursion, and meander characterized by sampling at independent uniform times
• scientific article; zbMATH DE number 4007398 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• On the expectation of normalized Brownian functionals up to first hitting times
• One-dimensional Brownian motion and the three-dimensional Bessel process

Cited in

(4)

• Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
• Scaled penalization of Brownian motion with drift and the Brownian ascent
• Self-similar co-ascent processes and Palm calculus
• Random scaling and sampling of Brownian motion

This page was built for publication: On the law of a triplet associated with the pseudo-Brownian bridge

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4568494)