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On an Identity in Law for the Variance of the Brownian Bridge
Author(s) -
Shi Zhan,
Yor Marc
Publication year - 1997
Publication title -
bulletin of the london mathematical society
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.396
H-Index - 48
eISSN - 1469-2120
pISSN - 0024-6093
DOI - 10.1112/s0024609396001920
Subject(s) - mathematics , brownian bridge , brownian motion , brownian excursion , identity (music) , variance (accounting) , transformation (genetics) , geometric brownian motion , reflected brownian motion , mathematical analysis , statistical physics , law , diffusion process , calculus (dental) , statistics , philosophy , physics , political science , economics , medicine , accounting , aesthetics , biochemistry , chemistry , economy , dentistry , gene , service (business)
An explanation of a duplication identity in law involving the variances of the Brownian bridge and Brownian motion is given, with the help of an elementary transformation in time and space of a two‐dimensional Brownian motion. 1991 Mathematics Subject Classification 60J65.