Pitman transforms and Brownian motion in the interval viewed as an affine alcove

DOI10.24033/ASENS.2499zbMATH Open1492.60227arXiv1808.09182OpenAlexW4287760430MaRDI QIDQ5085451FDOQ5085451

Authors: Philippe Bougerol, Manon Defosseux 

Publication date: 27 June 2022

Published in: Annales scientifiques de l'École Normale Supérieure (Search for Journal in Brave)

Abstract: Pitman's theorem states that if {Bt, t $ge$ 0} is a one-dimensional Brownian motion, then {Bt -- 2 inf s$le$t Bs, t $ge$ 0} is a three dimensional Bessel process, i.e. a Brownian motion conditioned in Doob sense to remain forever positive. In this paper one gives a similar representation for the Brownian motion in an interval. Due to the double barrier, it is much more involved and only asymptotic. This uses the fact that the interval is an alcove of the Affine Lie algebra A 1 1 .

Full work available at URL: https://arxiv.org/abs/1808.09182

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zbMATH Keywords

Brownian motionKac-Moody algebraPitman's transform

Mathematics Subject Classification ID

Brownian motion (60J65) Kac-Moody (super)algebras; extended affine Lie algebras; toroidal Lie algebras (17B67)

Cited In (7)

• Strip bundle realization of the crystals over \(U_q(G_2^{(1)})\)
• Strip bundle realization of the crystals over Uq(D4(3))
• Affine Lie algebras and conditioned space-time Brownian motions in affine Weyl chambers
• Zigzag strip bundles and crystals. II
• Characters, coadjoint orbits and Duistermaat-Heckman integrals
• Tensor product Markov chains
• From Pitman's theorem to crystals

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