A remark about the norm of a Brownian bridge
AbstractWe prove that the law of the euclidean norm of an n-dimensional Brownian bridge is, in general, only equivalent and not equal to the law of a n-dimensional Bessel bridge and we compute explicitly the mutual density. Relations with Bessel processes with drifts are also discussed.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 68 (2004)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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