A remark about the norm of a Brownian bridge

M. Yor and L. Zambotti

Statistics & Probability Letters, 2004, vol. 68, issue 3, 297-304

Abstract: We prove that the law of the euclidean norm of an n-dimensional Brownian bridge is, in general, only equivalent and not equal to the law of a n-dimensional Bessel bridge and we compute explicitly the mutual density. Relations with Bessel processes with drifts are also discussed.

Keywords: Brownian; bridges; Bessel; bridges; Bessel; processes; with; drift (search for similar items in EconPapers)
Date: 2004
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