On the law of a triplet associated with the pseudo-Brownian bridge

2013/10/27 by Mathieu Rosenbaum, Marc Yor, Rosenbaum, Mathieu +1
Decision Sciences · Mathematics · #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Random Matrices and Applications #Stochastic processes and statistical mechanics #math.PR

paper · pdf · doi:10.48550/arxiv.1310.7164

arxiv created 2013/10/27 · openalex publication_date 2013/10/27 · arxiv updated 2013/10/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We identify the distribution of a natural triplet associated with the pseudo-Brownian bridge. In particular, for B a Brownian motion and T₁ its first hitting time of the level one, this remarkable law allows us to understand some properties of the process (B_uT1/√(T₁), u≤ 1) under uniform random sampling.

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