On the Sparre Andersen Transformation for Multidimensional Brownian Bridge

スポンサーリンク

概要

• 論文の詳細を見る

• A family of law-preserving path transformations of $d$-dimensional Brownian bridge (pinned Brownian motion), $d\geq1,$ is constructed. This generalizes a result of one-dimensional cases obtained first by Embrechts, Rogers and Yor. Our approach and theirs are, however, completely different from each other.

• 東京大学の論文

著者

• Kusuoka Shigeo

  Graduate School Of Mathematical Sciences University Of Tokyo

• Kusuoka Shigeo

  Graduate School Of Mathematical Science The University Of Tokyo

• Takaoka Koichiro

  Department of Applied Physics, Tokyo Institute of Technology

関連論文

• On a Certain Metric on the Space of Pairs of a Random Variable and a Probability Measure
• Nonlinear Transformation Containing Rotation and Gaussian Measure
• Malliavin Calculus Revisited
• On an Ergodic Property of Diffusion Semigroups on Euclidean Space
• Laplace Approximations for Diffusion Processes on Torus: Nondegenerate Case
• On the Sparre Andersen Transformation for Multidimensional Brownian Bridge
• A mechanical model of Markov processes (Proceedings of RIMS Workshop on Stochastic Analysis and Applications)

スポンサーリンク