Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

On a one-parameter generalization of the Brownian bridge and associated quadratic functionals

Auteur(s):

Code(s) de Classification MSC:

Résumé: A one-parameter generalization of the Brownian bridge is studied. These processes are then used to compute the laws of some quadratic functionals of Brownian motion, and to obtain identities in law involving local time of modified Bessel processes up to their first hitting time.

Mots Clés: alpha-Brownian bridge ; quadratic functionals ; modified Bessel process

Date: 2003-06-06

Prépublication numéro: PMA-826