On independent times and positions for Brownian motions
de Meyer, Bernard ; Roynette, Bernard ; Vallois, Pierre ; Yor, Marc
Rev. Mat. Iberoamericana, Tome 18 (2002) no. 1, p. 541-586 / Harvested from Project Euclid
Let $(B_t ; t \ge 0)$, $\big(\mbox{resp. }((X_t, Y_t) ; t \ge 0)\big)$ be a one (resp. two) dimensional Brownian motion started at 0. Let $T$ be a stopping time such that $(B_{t \wedge T} ; t \ge 0)$ \big(resp. $(X_{t \wedge T} ; t \ge 0) ; (Y_{t \wedge T} ; t \ge 0)\big)$ is uniformly integrable. The main results obtained in the paper are: \begin{itemize} \item[1)] if $T$ and $B_T$ are independent and $T$ has all exponential moments, then $T$ is constant. \item[2)] If $X_T$ and $Y_T$ are independent and have all exponential moments, then $X_T$ and $Y_T$ are Gaussian. \end{itemize} We also give a number of examples of stopping times $T$, with only some exponential moments, such that $T$ and $B_T$ are independent, and similarly for $X_T$ and $Y_T$. We also exhibit bounded non-constant stopping times $T$ such that $X_T$ and $Y_T$ are independent and Gaussian.
Publié le : 2002-03-14
Classification:  Skorokhod embedding,  space-time Brownian motion,  Ornstein-Uhlenbeck and Bessel processes,  Hadamard's theorem,  60J65,  60G40,  60E10,  60G44,  60J25
@article{1051544319,
     author = {de Meyer, Bernard and Roynette, Bernard and Vallois, Pierre and Yor, Marc},
     title = {On independent times and positions for Brownian motions},
     journal = {Rev. Mat. Iberoamericana},
     volume = {18},
     number = {1},
     year = {2002},
     pages = { 541-586},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1051544319}
}
de Meyer, Bernard; Roynette, Bernard; Vallois, Pierre; Yor, Marc. On independent times and positions for Brownian motions. Rev. Mat. Iberoamericana, Tome 18 (2002) no. 1, pp.  541-586. http://gdmltest.u-ga.fr/item/1051544319/