Reflected Brownian bridge local time conditioned on its local time at the origin

Bernhard Gittenberger and Guy Louchard

Statistics & Probability Letters, 2004, vol. 68, issue 1, 51-60

Abstract: The moments of the local time of a reflected Brownian bridge conditioned on its local time at the origin are computed by two different methods: First, by conditioning an identity for the unconditioned local time and second, by using a limit theorem for random forests.

Keywords: Brownian; bridge; Local; time; Random; forests (search for similar items in EconPapers)
Date: 2004
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