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Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications

134 citations0/0 files storedJournal of Applied Probability

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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.

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