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ON AN IDENTITY IN LAW FOR THE VARIANCE OF THE BROWNIAN BRIDGE

Published online by Cambridge University Press:  01 January 1997

ZHAN SHI  and
MARC YOR
ZHAN SHI
Affiliation:
LSTA-CNRS URA 1321, Université Paris VI, 4 Place Jussieu, 75252 Paris Cedex 05, France
MARC YOR
Affiliation:
Laboratoire de Probabilités, CNRS URA 224, Université Paris VI, 4 Place Jussieu, 75252 Paris Cedex 05, France
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Abstract

An explanation of a duplication identity in law involving the variances of the Brownian bridge and Brownian motion is given, with the help of an elementary transformation in time and space of a two-dimensional Brownian motion.

Type
Research Article
Information
Bulletin of the London Mathematical Society , Volume 29 , Issue 1 , January 1997 , pp. 103 - 108
Copyright
© The London Mathematical Society 1997

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