Path transformations of reflecting Brownian depth processes

Path transformations of reflecting Brownian depth processes

Probability Seminar
Apr 6, 2016, 03:10 PM - 04:00 PM | 1011 Evans Hall | Happening As Scheduled
Jim Pitman, Department of Statistics
Some interesting transformations involving various Brownian path fragments can be presented in terms of reflecting Brownian depth processes. Two random variables of interest are the maximum M and the local time L at 0 of a reflecting Brownian bridge of length 1. The path transformations introduce a density factor proportional to a power of L, as in past work with Mihael Perman and Marc Yor. The...