One-dimensional Brownian motion and the three-dimensional Bessel process

• James W. Pitman

抄録

A simple path transformation is described which connects one-dimensional Brownian motion with the radial part of three-dimensional Brownian motion. This provides simple proofs of various path decompositions for these processes described by David Williams.

収録刊行物

• Advances in Applied Probability

  Advances in Applied Probability 7 (3), 511-526, 1975-09

  Cambridge University Press (CUP)

キーワード

• Applied Mathematics
• Statistics and Probability

詳細情報

• CRID: 1360292619220086528
• NII論文ID: 30022803916
• DOI: 10.2307/1426125
• ISSN: 14756064
• ISSN: 00018678
• Web Site: https://www.cambridge.org/core/services/aop-cambridge-core/content/view/S0001867800040763
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