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A fragmentation process connected to Brownian motion
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  • Published: June 2000

A fragmentation process connected to Brownian motion

  • Jean Bertoin1 

Probability Theory and Related Fields volume 117, pages 289–301 (2000)Cite this article

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Abstract.

Let (B s , s≥ 0) be a standard Brownian motion and T 1 its first passage time at level 1. For every t≥ 0, we consider ladder time set ℒ(t) of the Brownian motion with drift t, B (t) s = B s + ts, and the decreasing sequence F(t) = (F 1(t), F 2(t), …) of lengths of the intervals of the random partition of [0, T 1] induced by ℒ(t). The main result of this work is that (F(t), t≥ 0) is a fragmentation process, in the sense that for 0 ≤t < t′, F(t′) is obtained from F(t) by breaking randomly into pieces each component of F(t) according to a law that only depends on the length of this component, and independently of the others. We identify the fragmentation law with the one that appears in the construction of the standard additive coalescent by Aldous and Pitman [3].

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Authors and Affiliations

  1. Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, et C.N.R.S. UMR 7599, 4, Place Jussieu, F-75252 Paris Cedex 05, France. e-mail: jbe@ccr.jussieu.fr, , , , , , FR

    Jean Bertoin

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  1. Jean Bertoin
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Received: 19 February 1999 / Revised version: 17 September 1999 /¶Published online: 31 May 2000

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Bertoin, J. A fragmentation process connected to Brownian motion. Probab Theory Relat Fields 117, 289–301 (2000). https://doi.org/10.1007/s004400050008

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  • Issue Date: June 2000

  • DOI: https://doi.org/10.1007/s004400050008

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Keywords

  • Brownian Motion
  • Passage Time
  • Fragmentation Process
  • Standard Brownian Motion
  • Random Partition
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