On independent times and positions for Brownian motions.

DOI10.4171/RMI/328zbMath1055.60078OpenAlexW4299806671MaRDI QIDQ1394485

Marc Yor, Pierre Vallois, Bernard Roynette, Bernard De Meyer

Publication date: 2002

Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/39694

zbMATH Keywords

Bessel processstopping timeOrnstein-Uhlenbeck processholomorphic functionexponential momentspace-time Brownian motionintertwinings

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Characteristic functions; other transforms (60E10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (6)

Brownian penalisations related to excursion lengths. VII ⋮ A counterexample to the Cantelli conjecture through the Skorokhod embedding problem ⋮ Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions. ⋮ Asymptotics for the distribution of lengths of excursions of a \(d\)-dimensional Bessel process \((0 < d < 2)\) ⋮ A Generalized Discriminant Rule When Training Population and Test Population Differ on Their Descriptive Parameters ⋮ A note on the coefficients of elliptical random variables

Cites Work

• Representation of measures by balayage from a regular recurrent point
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