Random Brownian Scaling Identities and Splicing of Bessel Processes

Random Brownian Scaling Identities and Splicing of Bessel Processes

Report Number
490
Authors
Jim Pitman and Marc Yor
Citation
Ann. Prob. 26, 1683-1702 (1998)
Abstract

An identity in distribution due to F. Knight for Brownian motion is extended in two different ways: firstly by replacing the supremum of a reflecting Brownian motion by the range of an unreflected Brownian motion, and secondly by replacing the reflecting Brownian motion by a recurrent Bessel process. Both extensions are explained in terms of random Brownian scaling transformations and Brownian excursions. The first extension is related to two different constructions of Ito's law of Brownian excursions, due to D. Williams and J.-M. Bismut, each involving back-to-back splicing of fragments of two independent three-dimensional Bessel processes. Generalizations of both splicing constructions are described which involve Bessel processes and Bessel bridges of arbitrary positive real dimension.

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