Journal of the Mathematical Society of Japan
Online ISSN : 1881-1167
Print ISSN : 0025-5645
ISSN-L : 0025-5645
Random scaling and sampling of Brownian motion
Mathieu RosenbaumMarc Yor
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2015 Volume 67 Issue 4 Pages 1771-1784

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Abstract

In this paper, we provide a survey of recent distributional results obtained for Brownian type processes observed up to some random times. We focus on the case of hitting times and inverse local times and consider the situation where the processes are randomly sampled through a uniform random variable. We present various explicit formulas, some of them being quite remarkable.

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© 2015 The Mathematical Society of Japan
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