On the Sparre Andersen Transformation for Multidimensional Brownian Bridge

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J. Math. Sci. Univ. Tokyo
Vol. 4 (1997), No. 1, Page 211--227.

Kusuoka, Shigeo ; Takaoka, Koichiro
On the Sparre Andersen Transformation for Multidimensional Brownian Bridge
[Full Article (PDF)] [MathSciNet Review (HTML)] [MathSciNet Review (PDF)]

Abstract:
A family of law-preserving path transformations of

$d$ -dimensional Brownian bridge (pinned Brownian motion),

$d\geq1,$ is constructed. This generalizes a result of one-dimensional cases obtained first by Embrechts, Rogers and Yor. Our approach and theirs are, however, completely different from each other.

Mathematics Subject Classification (1991): 60G50, 60J30

Mathematical Reviews Number: MR1451307

Received: 1996-07-18

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