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Two Descriptions of n: Itô’s and Williams’

  • Ju-Yi Yen
  • Marc Yor
Chapter
  • 1.5k Downloads
Part of the Lecture Notes in Mathematics book series (LNM, volume 2088)

Abstract

Following the previous  Chap. 5, two disintegrations of the Itô measure n with respect to the lifetime and the maximum are stated and later proven. The first of these, due to Itô, features the BES(3) bridges, whereas the second one, due to Williams, features two BES(3) processes put back to back, and considered up to their first hitting time of a level. That these two descriptions hold jointly translates into an agreement formula between BES(3) bridges and two BES(3) processes put back to back. Finally, n is shown to be Markovian, its entrance law is described, and it is also shown that the corresponding semigroup is that of Brownian motion killed as it reaches 0.

Keywords

Brownian Motion Markov Property Poisson Point Process Enlargement Formula Additive Formula 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

  1. 1.
    L.C.G. Rogers, Williams’ characterisation of the Brownian excursion law: proof and applications. Seminar on Probability, XV (Univ. Strasbourg, Strasbourg, 1979/1980) (French). Lecture Notes in Math., vol. 850. (Springer, Berlin, 1981), pp. 227–250Google Scholar
  2. 2.
    D. Revuz, M. Yor, Continuous martingales and Brownian motion. Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], vol. 293, 3rd edn. (Springer, Berlin, 1999)Google Scholar

Copyright information

© Springer International Publishing Switzerland 2013

Authors and Affiliations

  • Ju-Yi Yen
    • 1
  • Marc Yor
    • 2
  1. 1.Department of Mathematical SciencesUniversity of CincinnatiCincinnatiUSA
  2. 2.Laboratoire de Probabilités et Modèles AléatoiresUniversité Paris VIParis CX 05France

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