메뉴 건너뛰기




Volumn 4, Issue , 1999, Pages 31-37

Constructions of a brownian path with a given minimum

Author keywords

Conditioned Brownian motion; Path transformations

Indexed keywords


EID: 3042830033     PISSN: None     EISSN: 1083589X     Source Type: Journal    
DOI: 10.1214/ECP.v4-1003     Document Type: Article
Times cited : (13)

References (22)
  • 1
    • 21344441885 scopus 로고
    • Discretization error in simulation of onedimensional reflecting Brownian motion
    • S. Asmussen, P. Glynn, and J. Pitman. Discretization error in simulation of onedimensional reflecting Brownian motion. Ann. Applied Prob., 5:875-896, 1995.
    • (1995) Ann. Applied Prob. , vol.5 , pp. 875-896
    • Asmussen, S.1    Glynn, P.2    Pitman, J.3
  • 2
    • 0039262974 scopus 로고
    • Decomposition du mouvement brownien avec derive en un minimum local par juxtaposition de ses excursions positives et negatives
    • Springer-Verlag, Lecture Notes in Math. 1485
    • J. Bertoin. Decomposition du mouvement brownien avec derive en un minimum local par juxtaposition de ses excursions positives et negatives. In Séminaire de Probabilités XXV, pages 330-344. Springer-Verlag, 1991. Lecture Notes in Math. 1485.
    • (1991) Séminaire De Probabilités XXV , pp. 330-344
    • Bertoin, J.1
  • 3
    • 0000358936 scopus 로고
    • Path transformations connecting Brownian bridge, excursion and meander
    • J. Bertoin and J. Pitman. Path transformations connecting Brownian bridge, excursion and meander. Bull. Sci. Math. (2), 118:147-166, 1994.
    • (1994) Bull. Sci. Math. (2) , vol.118 , pp. 147-166
    • Bertoin, J.1    Pitman, J.2
  • 4
    • 0002283157 scopus 로고
    • Relations entre pont et excursion du mouvement Brownien reel
    • Ph. Biane. Relations entre pont et excursion du mouvement Brownien reel. Ann. Inst. Henri Poincaré, 22:1-7, 1986.
    • (1986) Ann. Inst. Henri Poincaré , vol.22 , pp. 1-7
    • Biane, P.H.1
  • 5
    • 0002859752 scopus 로고
    • Valeurs principales associees aux temps locaux Browniens
    • Ph. Biane and M. Yor. Valeurs principales associees aux temps locaux Browniens. Bull. Sci. Math. (2), 111:23-101, 1987.
    • (1987) Bull. Sci. Math. (2) , vol.111 , pp. 23-101
    • Biane, P.H.1    Yor, M.2
  • 6
    • 0013441717 scopus 로고
    • Quelques precisions sur le meandre brownien
    • Ph. Biane and M. Yor. Quelques precisions sur le meandre brownien. Bull. Sci. Math., 112:101-109, 1988.
    • (1988) Bull. Sci. Math. , vol.112 , pp. 101-109
    • Biane, P.H.1    Yor, M.2
  • 8
    • 0007019203 scopus 로고
    • Excursions in Brownian motion
    • K. L. Chung. Excursions in Brownian motion. Arkiv fur Matematik, 14:155-177, 1976.
    • (1976) Arkiv Fur Matematik , vol.14 , pp. 155-177
    • Chung, K.L.1
  • 10
    • 0042470094 scopus 로고
    • A random walk and a Wiener process near a maximum
    • I. V. Denisov. A random walk and a Wiener process near a maximum. Theor. Prob. Appl., 28:821-824, 1984.
    • (1984) Theor. Prob. Appl. , vol.28 , pp. 821-824
    • Denisov, I.V.1
  • 12
    • 0021493798 scopus 로고
    • Density factorizations for Brownian motion, meander and the threedimensional Bessel process, and applications
    • J. P. Imhof. Density factorizations for Brownian motion, meander and the threedimensional Bessel process, and applications. J. Appl. Probab., 21:500-510, 1984.
    • (1984) J. Appl. Probab. , vol.21 , pp. 500-510
    • Imhof, J.P.1
  • 13
    • 3042683608 scopus 로고
    • On Brownian bridge and excursion
    • J. P. Imhof. On Brownian bridge and excursion. Studia Sci. Math. Hungar., 20:1-10, 1985.
    • (1985) Studia Sci. Math. Hungar. , vol.20 , pp. 1-10
    • Imhof, J.P.1
  • 14
    • 0000035770 scopus 로고
    • Une approche elementaire des theoremes de decomposition de Williams
    • Springer, Lecture Notes in Math. 1204
    • J. F. Le Gall. Une approche elementaire des theoremes de decomposition de Williams. In Séminaire de Probabilités XX, pages 447-464. Springer, 1986. Lecture Notes in Math. 1204.
    • (1986) Séminaire De Probabilités XX , pp. 447-464
    • Le Gall, J.F.1
  • 15
    • 0000884985 scopus 로고
    • One-dimensional Brownian motion and the three-dimensional Bessel process
    • J. Pitman. One-dimensional Brownian motion and the three-dimensional Bessel process. Advances in Applied Probability, 7:511-526, 1975.
    • (1975) Advances in Applied Probability , vol.7 , pp. 511-526
    • Pitman, J.1
  • 16
    • 24144503559 scopus 로고    scopus 로고
    • Technical Report 539, Dept. Statistics, U.C. Berkeley, To appear in Seminaire de Probabilités XXXIII. Available via
    • J. Pitman. The distribution of local times of Brownian bridge. Technical Report 539, Dept. Statistics, U.C. Berkeley, 1998. To appear in Seminaire de Probabilités XXXIII. Available via http://www.stat.berkeley.edu/users/pitman.
    • (1998) The Distribution of Local Times of Brownian Bridge
    • Pitman, J.1
  • 17
    • 0002975171 scopus 로고    scopus 로고
    • Decomposition at the maximum for excursions and bridges of one-dimensional diffusions
    • N. Ikeda, S. Watanabe, M. Fukushima, and H. Kunita, editors, Springer-Verlag
    • J. Pitman and M. Yor. Decomposition at the maximum for excursions and bridges of one-dimensional diffusions. In N. Ikeda, S. Watanabe, M. Fukushima, and H. Kunita, editors, Ito’s Stochastic Calculus and Probability Theory, pages 293-310. Springer-Verlag, 1996.
    • (1996) Ito’s Stochastic Calculus and Probability Theory , pp. 293-310
    • Pitman, J.1    Yor, M.2
  • 19
    • 0000246649 scopus 로고
    • A relation between Brownian bridge and Brownian excursion
    • W. Vervaat. A relation between Brownian bridge and Brownian excursion. Ann. Probab., 7:143-149, 1979.
    • (1979) Ann. Probab. , vol.7 , pp. 143-149
    • Vervaat, W.1
  • 20
    • 84966207775 scopus 로고
    • Decomposing the Brownian path
    • D. Williams. Decomposing the Brownian path. Bull. Amer. Math. Soc., 76:871-873, 1970.
    • (1970) Bull. Amer. Math. Soc. , vol.76 , pp. 871-873
    • Williams, D.1
  • 21
    • 33749017547 scopus 로고
    • Path decomposition and continuity of local time for one dimensional diffusions I
    • D. Williams. Path decomposition and continuity of local time for one dimensional diffusions I. Proc. London Math. Soc. (3), 28:738-768, 1974.
    • (1974) Proc. London Math. Soc. (3) , vol.28 , pp. 738-768
    • Williams, D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.