A short proof of an identity for a Brownian Bridge due to Donati-Martin, Matsumoto and Yor

David Hobson

Statistics & Probability Letters, 2007, vol. 77, issue 2, 148-150

Abstract: Let (Wt)0[less-than-or-equals, slant]t[less-than-or-equals, slant]1 be a Brownian Bridge. Then, as shown by Donati-Martin, Matsumoto and Yor, the following identity holds:We give an elegant direct proof of this result, based on an identification between a Brownian bridge and a Brownian excursion due to Vervaat and Biane.

Keywords: Brownian; bridge; Brownian; excursion; Vervaat's; decomposition (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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