Comptes Rendus
Probability Theory
On the first crossing times of a Brownian motion and a family of continuous curves
[Sur les premiers instants de croisement du mouvement brownien et d'une famille de courbes continues]
Comptes Rendus. Mathématique, Volume 340 (2005) no. 3, pp. 225-228.

We review the analytic transformations allowing to construct standard Brownian bridges from a Brownian motion. These are generalized and some of their properties are studied. The new family maps the space of continuous positive functions into a family of curves which is the topic of our study. We establish a simple and explicit formula relating the distributions of the first hitting times of each of these curves by a standard Brownian motion.

Nous examinons les transformations analytiques qui permettent de passer du mouvement brownien aux ponts browniens standards. Nous les généralisons et étudions certaines de leurs propriétés. L'image d'une courbe réelle et continue, par ces transformations, est une famille de courbes à laquelle nous nous intéressons. Nous établissons une relation simple et explicite entre les distributions des temps d'atteinte de chacun des éléments de cette famille par un mouvement brownien.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2004.11.008

Larbi Alili 1 ; Pierre Patie 2

1 Department of Statistics, The University of Warwick, Coventry CV4 7AL, UK
2 RiskLab, Department of Mathematics, ETH-Zentrum, CH-8092 Zürich, Switzerland
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Larbi Alili; Pierre Patie. On the first crossing times of a Brownian motion and a family of continuous curves. Comptes Rendus. Mathématique, Volume 340 (2005) no. 3, pp. 225-228. doi : 10.1016/j.crma.2004.11.008. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2004.11.008/

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