Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
- 1 June 1984
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 21 (03) , 500-510
- https://doi.org/10.1017/s0021900200028709
Abstract
Joint densities concerning in particular the value and time of the maximum over a fixed time interval, or the behavior over intervals determined by some first- and last-passage times, are determined for Brownian motion, the three-dimensional Bessel process and Brownian meander. Simple change of measure formulas permit easy passage from one process to the other. Examples are given.Keywords
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