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XV: 15, 210-226, LNM 850 (1981)
JEULIN, Thierry; YOR, Marc
Sur les distributions de certaines fonctionnelles du mouvement brownien (Brownian motion)
This paper gives new proofs and extensions of results due to Knight, concerning occupation times by the process $(S_t,B_t)$ up to time $T_a$, where $(B_t)$ is Brownian motion, $T_a$ the hitting time of $a$, and $(S_t)$ is $\sup_{s\le t} B_s$. The method uses enlargement of filtrations, and martingales similar to those of 1306. Theorem 3.7 is a decomposition of Brownian paths akin to Williams' decomposition
Comment: See also 1516
Keywords: Explicit laws, Occupation times, Enlargement of filtrations, Williams decomposition
Nature: Original
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