Brownian motion on the circle and applications

Authors

  • M.N. Pascu Transilvania University of Brasov, Romania
  • N.R. Pascu Southern Polytechnic State University, U.S.A.

Keywords:

reflecting Brownian motion, Tanaka formula, Laugesen-Morpurgo conjecture

Abstract

We give an explicit representation of the 1-dimensional reflecting Brownian motion on an interval in terms of a free 1-dimensional Brownian motion on the circle. As an application, we derive a probabilistic proof of the Laugesen-Morpurgo conjecture in the 1-dimensional case.

Author Biographies

M.N. Pascu, Transilvania University of Brasov, Romania

Faculty of Mathematics and Computer Science, Str. Iuliu Maniu Nr. 50, Brasov, Cod 500091

N.R. Pascu, Southern Polytechnic State University, U.S.A.

1100 South Marietta Parkway, Marietta, GA 30060-2896

Published

2008-11-30

Issue

Vol. 1(50) (2008)

Section

MATHEMATICS