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
1516Keywords: Explicit laws,
Occupation times,
Enlargement of filtrations,
Williams decompositionNature: Original
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