Random scaling and sampling of Brownian motion
نویسندگان
چکیده
منابع مشابه
Random Brownian Scaling Identities
An identity in distribution due to F. Knight for Brownian motion is extended in two diierent ways: rstly by replacing the supremum of a reeecting Brownian motion by the range of an unreeected Brownian motion, and secondly by replacing the reeecting Brownian motion by a recurrent Bessel process. Both extensions are explained in terms of random Brownian scaling transformations and Brownian excurs...
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ژورنال
عنوان ژورنال: Journal of the Mathematical Society of Japan
سال: 2015
ISSN: 0025-5645
DOI: 10.2969/jmsj/06741771