A simple proof of Pitman's 2M - X theorem

Imhof, Jean-Pierre

doi:10.2307/1427703

Scientific article

English

A simple proof of Pitman's 2M - X theorem

ContributorsImhof, Jean-Pierre

Published inAdvances in Applied Probability, vol. 24, no. 2, p. 499-501

Publication date1992

Abstract

Pitman has shown that if X is Brownian motion with maximum process M, then 2M - X is a BESo(3) process. We show that this can be seen by looking at finite-dimensionadl ensities.

Affiliation entities

Faculté des sciences / Section de mathématiques

Citation (ISO format)

IMHOF, Jean-Pierre. A simple proof of Pitman’s 2M - X theorem. In: Advances in Applied Probability, 1992, vol. 24, n° 2, p. 499–501. doi: 10.2307/1427703

Article (Published version)

Identifiers

PID : unige:12073
DOI : 10.2307/1427703

Journal ISSN0001-8678

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A simple proof of Pitman's 2M - X theorem

Pitman has shown that if X is Brownian motion with maximum process M, then 2M - X is a BESo(3) process. We show that this can be seen by looking at finite-dimensionadl ensities.

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