Path decompositions of perturbed reflected Brownian motions - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2020

Path decompositions of perturbed reflected Brownian motions

Résumé

We are interested in path decompositions of a perturbed reflecting Brownian motion (PRBM) at the hitting times and at the minimum. Our study relies on the loop soups developed by Lawler and Werner [10] and Le Jan [13]-[14], in particular on a result discovered by Lupu [15] identifying the law of the excursions of the PRBM above its past minimum with the loop measure of Brownian bridges.
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Dates et versions

hal-02612935 , version 1 (19-05-2020)
hal-02612935 , version 2 (02-07-2021)

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Citer

Elie Aïdékon, Yueyun Hu, Zhan Shi. Path decompositions of perturbed reflected Brownian motions. 2020. ⟨hal-02612935v1⟩
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