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On some equalities of laws for Brownian motion with drift

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

J. P. Imhof
J. P. Imhof*
Affiliation:
University of Geneva
*
∗ Postal address: 18 av Peschier, 1206 Geneva, Switzerland. Email address: Jean-Pierre.Imhof@math.unige.ch
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Abstract

A trivariate equality of laws given by Doney and Yor is extended to a quadrivariate version. Some related explicit density calculations are carried out. It is shown that a bivariate case which has been used to establish the Dassios–Port–Wendel equality of laws is in fact equivalent to it.

Keywords

Brownian motion with driftgeneralized arc-sine laws

MSC classification

Secondary: 60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 36 , Issue 3 , September 1999 , pp. 682 - 687
Copyright
Copyright © Applied Probability Trust 1999 

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