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Abstrakty
In this note, which develops a part of our paper [2], we consider independence properties between Brownian motion, after Brownian scaling on a random interval (a, b), and the length (b—a) of the interval. We indicate three examples for which the Brownian scaled process is independent of the corresponding length. On the other hand, we discuss a case where this independence property does not hold and investigate further results for that example.
Czasopismo
Rocznik
Tom
Strony
105--108
Opis fizyczny
Bibliogr. 4 poz.
Twórcy
autor
- Graduate School of Commerce and Management, Hitotsubashi University, Naka 2.1, Kunitachi, Tokyo 186.8601 Japan
autor
- Laboratoire de Probabilités et Modeles Aléatoires Université, Paris VI easier 188,4, place Jussieu, 75 252 Paris cedex 05, France
Bibliografia
- [1] P. Biane and M. Yor, Quelques precisions sur le méandre brownien, Bull. Sei. Math. 112 (1988), pp. 101-109.
- [2] T. Fujita and M. Yor, On the remarkable distributions of maxima of some fragments of the standard reflecting random walk and Brownian motion, this fascicle, pp. 89-104.
- [3] M. Yor, Some Aspects of Brownian Motion. Part I: Some Special Functionals, Lectures Math. ETH Zürich, Birkhäuser, 1992.
- [4] M. Yоr, Random Brownian scaling and some absolute continuity relationships, Progr. Probab. 36, E. Bolthausen, M. Dozzi and F. Russo (Eds.), Birkhäuser, 1995, pp. 243-252.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-6839843e-ea32-4f12-943a-387b2f485369