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On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals

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  • R. Mansuy

    (Université Pierre et Marie Curie-Paris VI)

Abstract

A one-parameter generalization of the Brownian bridge is studied. These processes are then used to compute the laws of some quadratic functionals of Brownian motion, and to obtain identities in law involving local time of modified Bessel processes up to their first hitting time.

Suggested Citation

  • R. Mansuy, 2004. "On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals," Journal of Theoretical Probability, Springer, vol. 17(4), pages 1021-1029, October.
    • Handle: RePEc:spr:jotpro:v:17:y:2004:i:4:d:10.1007_s10959-004-0588-8
    DOI: 10.1007/s10959-004-0588-8
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    References listed on IDEAS

    as
    1. Brennan, Michael J & Schwartz, Eduardo S, 1990. "Arbitrage in Stock Index Futures," The Journal of Business, University of Chicago Press, vol. 63(1), pages 7-31, January.
    2. Ball, Clifford A. & Torous, Walter N., 1983. "Bond Price Dynamics and Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(4), pages 517-531, December.
    Full references (including those not matched with items on IDEAS)

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