A remark about the norm of a Brownian bridge
We 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.
Volume (Year): 68 (2004)
Issue (Month): 3 (July)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:68:y:2004:i:3:p:297-304. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.