Path decompositions of perturbed reflecting Brownian motions
Probability
2021-07-06 v2
Abstract
We are interested in path decompositions of a perturbed reflecting Brownian motion (PRBM) at the hitting times and at the minimum. Our study relies on the loop soups developed by Lawler and Werner [10] and Le Jan [13]-[14], in particular on a result discovered by Lupu [15] identifying the law of the excursions of the PRBM above its past minimum with the loop measure of Brownian bridges.
Keywords
Cite
@article{arxiv.2005.09880,
title = {Path decompositions of perturbed reflecting Brownian motions},
author = {Elie Aïdékon and Yueyun Hu and Zhan Shi},
journal= {arXiv preprint arXiv:2005.09880},
year = {2021}
}
Comments
In honour of Professor Ron Doney on the occasion of his 80th birthday