A converse to Pitman's theorem for a space-time Brownian motion in an affine Weyl chamber
Résumé
We prove an inverse Pitman's theorem for a space-time Brownian motion conditioned in Doob's sense to remain in an affine Weyl chamber. Our theorem provides a way to recover an unconditioned space-time Brownian motion from a conditioned one applying a sequence of path transformations.
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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