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On the law of a triplet associated with the pseudo-Brownian bridge

Authors
  • Rosenbaum, Mathieu
  • Yor, Marc
Publication Date
Oct 27, 2013
Source
HAL-UPMC
Keywords
Language
English
License
Unknown
External links

Abstract

We identify the distribution of a natural triplet associated with the pseudo-Brownian bridge. In particular, for $B$ a Brownian motion and $T_1$ its first hitting time of the level one, this remarkable law allows us to understand some properties of the process $(B_{uT_1}/\sqrt{T_1},~u\leq 1)$ under uniform random sampling.

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