On the Sparre Andersen Transformation for Multidimensional Brownian Bridge
Vol. 4 (1997), No. 1, Page 211--227.
Kusuoka, Shigeo ; Takaoka, Koichiro
On the Sparre Andersen Transformation for Multidimensional Brownian Bridge
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Abstract:
A family of law-preserving path transformations of d-dimensional Brownian bridge (pinned Brownian motion), d≥1, 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