On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals

R. Mansuy
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R. Mansuy: Université Pierre et Marie Curie-Paris VI

Journal of Theoretical Probability, 2004, vol. 17, issue 4, 1021-1029

Abstract: Abstract A one-parameter generalization of the Brownian bridge is studied. These processes are then used to compute the laws of some quadratic functionals of Brownian motion, and to obtain identities in law involving local time of modified Bessel processes up to their first hitting time.

Keywords: α-Brownian bridge; quadratic functionals; modified Bessel process (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/s10959-004-0588-8

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