停止时间T和布朗运动位置BT的独立性(Bu,u小于或等于0)

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics Pub Date : 2001-12-01 DOI:10.1016/S0764-4442(01)02168-1

Bernard De Meyer , Bernard Roynette , Pierre Vallois , Marc Yor

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引用次数: 1

摘要

在本说明中，我们描述了许多二维随机变量{BT,T}的例子，这些例子是从布朗运动(BT; T大于或等于0)在停止时间T的位置获得的，使得T和BT是独立的。对于这类配对，T定律决定BT定律，反之亦然;我们研究了独立性假设对这些律的约束。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Sur l'indépendance d'un temps d'arrêt T et de la position BT d'un mouvement brownien (Bu,u⩾0)

In this Note, we describe many examples of two-dimensional random variables {B_T,T} obtained from the position of a Brownian motion $(B_{t}; t⩾0)$ at a stopping time T such that T and B_T are independent. For such pairs, the law of T determines that of B_T and vice versa; we study the constraints on these laws induced by the independence assumption.

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Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

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