Some points on Vervaat's transform of Brownian bridges and Brownian motion
Probability
2013-08-20 v1
Abstract
In a recent work J. Pitman and W. Tang defined the Vervaat's transform for a Brownian bridge with two different endpoints and for a Brownian motion between times and . They proved some path decomposition properties for these Vervaat's transforms and raised open questions on their semi-martingale decomposition. In this paper we give an alternative proof for the path decomposition and answer the open questions.
Keywords
Cite
@article{arxiv.1308.3759,
title = {Some points on Vervaat's transform of Brownian bridges and Brownian motion},
author = {Titus Lupu},
journal= {arXiv preprint arXiv:1308.3759},
year = {2013}
}
Comments
11 pages