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Lévy identity for Brownian motion

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Brownian motion Reflection principle (Wiener process) Brownian running maximum
2026-09-29  0 By others on same topic  0 Discussions Create my own version
For a standard Brownian motion B, its Brownian running maximum M, and its local time of a semimartingale L0 at zero, the process pairs satisfy
(Mt​−Bt​,Mt​)t≥0​=d(∣Bt​∣,Lt0​)t≥0​.
(1)
In particular, M−B and ∣B∣ are both Reflected Brownian motion and have the same law as processes.

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  1. Brownian running maximum
  2. Reflection principle (Wiener process)
  3. Brownian motion
  4. Stochastic process
  5. Probability theory
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  • Past exam of the mathematics course of the University of Cambridge / 2020 / ii / Paper 3 / 29K / b / iii / Solution

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