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Brownian motion reflected on Brownian motion
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  • Published: April 2002

Brownian motion reflected on Brownian motion

  • Krzysztof Burdzy1 &
  • David Nualart2 

Probability Theory and Related Fields volume 122, pages 471–493 (2002)Cite this article

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  • 14 Citations

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Abstract

 We study Brownian motion reflected on an ``independent'' Brownian path. We prove results on the joint distribution of both processes and the support of the parabolic measure in the space-time domain bounded by a Brownian path. We show that there exist two different natural local times for a Brownian path reflected on a Brownian path.

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Authors and Affiliations

  1. Department of Mathematics, University of Washington, Box 354350, Seattle, WA 98195-4350, USA. e-mail: burdzy@math.washington.edu Research partially supported by NSF grant DMS-0071486 (USA) and SAB1999-0171 (Spain)., , , , , , ES

    Krzysztof Burdzy

  2. Facultat de Mathemàtiques, Universitat de Barcelona, Gran Via 585, 08007 Barcelona, Spain. e-mail: nualart@mat.ub.es Research partially supported by the grant PB96-0087 from the DGES., , , , , , ES

    David Nualart

Authors
  1. Krzysztof Burdzy
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  2. David Nualart
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Received: 25 October 2000 / Revised version: 30 March 2001 / Published online: 20 December 2002

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Burdzy, K., Nualart, D. Brownian motion reflected on Brownian motion. Probab Theory Relat Fields 122, 471–493 (2002). https://doi.org/10.1007/s004400100165

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  • Issue Date: April 2002

  • DOI: https://doi.org/10.1007/s004400100165

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Keywords

  • Brownian Motion
  • Local Time
  • Joint Distribution
  • Brownian Path
  • Parabolic Measure
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