XXXI: 29, 306-314, LNM 1655 (1997)
YOR, Marc
Some remarks about the joint law of Brownian motion and its supremum (Brownian motion)
Seshadri's identity says that if $S_1$ denotes the maximum of a Brownian motion $B$ on the interval $[0,1]$, the r.v. $2S_1(S_1-B_1)$ is independent of $B_1$ and exponentially distributed. Several variants of this are obtained
Comment: See also 3320
Keywords: Maximal process, Seshadri's identity
Nature: Original
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