N ov 2 00 7 Skorohod - reflection of Brownian Paths and BES 3

نویسنده

  • Bálint Tóth
چکیده

Let B(t), X(t) and Y (t) be independent standard 1d Borwnian motions. Define X + (t) and Y − (t) as the trajectories of the processes X(t) and Y (t) pushed upwards and, respectively, downwards by B(t), according to Skorohod-reflection. In the recent paper [8], Jon Warren proves inter alia that Z(t) := X + (t)−Y − (t) is a three-dimensional Bessel-process. In this note, we present an alternative, elementary proof of this fact.

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تاریخ انتشار 2007