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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.

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
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ISSN of the journal0001-8678
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