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Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications

Published online by Cambridge University Press:  14 July 2016

J.-P. Imhof
J.-P. Imhof*
Affiliation:
University of Geneva
*
∗Postal address: Section de Mathématiques, Case Postale 240, 1211 Geneva 24, Switzerland.
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Abstract

Joint densities concerning in particular the value and time of the maximum over a fixed time interval, or the behavior over intervals determined by some first- and last-passage times, are determined for Brownian motion, the three-dimensional Bessel process and Brownian meander. Simple change of measure formulas permit easy passage from one process to the other. Examples are given.

Keywords

MAXIMUMPASSAGE TIMES
Type
Research Papers
Information
Journal of Applied Probability , Volume 21 , Issue 3 , September 1984 , pp. 500 - 510
Copyright
Copyright © Applied Probability Trust 1984 

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