Brownian Motion, Bridge, Excursion, and Meander Characterized by Sampling at Independent Uniform Times
نویسندگان
چکیده
منابع مشابه
Brownian Motion, Bridge, Excursion, and Meander Characterized by Sampling at Independent Uniform Times
For a random process X consider the random vector deened by the values of X at times 0 < U n;1 < ::: < U n;n < 1 and the minimal values of X on each of the intervals between consecutive pairs of these times, where the U n;i are the order statistics of n independent uniform (0; 1) variables, independent of X. The joint law of this random vector is explicitly described when X is a Brownian motion...
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For a random process X consider the random vector defined by the values of X at times 0 < Un,1 < ... < Un,n < 1 and the minimal values of X on each of the intervals between consecutive pairs of these times, where the Un,i are the order statistics of n independent uniform (0, 1) variables, independent of X. The joint law of this random vector is explicitly described when X is a Brownian motion. ...
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 1999
ISSN: 1083-6489
DOI: 10.1214/ejp.v4-48