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Path transformations of first passage bridges


 
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1. Title Title of document Path transformations of first passage bridges
 
2. Creator Author's name, affiliation, country Jean Bertoin; Universite Pierre et Marie Curie
 
2. Creator Author's name, affiliation, country Loic Chaumont; Universite Pierre et Marie Curie
 
2. Creator Author's name, affiliation, country Jim Pitman; University of California at Berkeley
 
3. Subject Discipline(s)
 
3. Subject Keyword(s)
 
4. Description Abstract We define the first passage bridge from 0 to $\lambda$ as the Brownian motion on the time interval $[0,1]$ conditioned to first hit $\lambda$ at time 1. We show that this process may be related to the Brownian bridge, the Bessel bridge or the Brownian excursion via some path transformations, the main one being an extension of Vervaat's transformation. We also propose an extension of these results to certain bridges with cyclically exchangeable increments.
 
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7. Date (YYYY-MM-DD) 2003-12-17
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1096
 
10. Identifier Digital Object Identifier 10.1214/ECP.v8-1096
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 8
 
12. Language English=en
 
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