A remark about the norm of a Brownian bridge

We prove that the law of the euclidean norm of an n-dimensional Brownian bridge is, in general, only equivalent and not equal to the law of a n-dimensional Bessel bridge and we compute explicitly the mutual density. Relations with Bessel processes with drifts are also discussed.

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Year of publication:	2004
Authors:	Yor, M. ; Zambotti, L.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 68.2004, 3, p. 297-304
Publisher:	Elsevier
Keywords:	Brownian bridges Bessel bridges Bessel processes with drift

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074527