Unbiased shifts of Brownian motion

Guenter Last, Peter Morters, Hermann Thorisson

Research output: Contribution to journalArticle

11 Citations (Scopus)
126 Downloads (Pure)

Abstract

Let B = (B(t) :t∈R) be a two-sided standard Brownian motion. An unbiased shift of B is a random time T , which is a measurable function of B, such that (B(T +t) − B(T) :t∈R) is a Brownian motion independent of B(T) . We characterise unbiased shifts in terms of allocation rules balancing mixtures of local times of B. For any probability distribution ν on R we construct a stopping time T ≥ 0 with the above properties such that B(T) has distribution ν. We also study moment and minimality properties of unbiased shifts. A crucial ingredient of our approach is a new theorem on the existence of allocation rules balancing stationary diffuse random measures on R. Another new result is an analogue for diffuse random measures on R of the cycle- stationarity characterisation of Palm versions of stationary simple point processes.
Original languageEnglish
Pages (from-to)431-463
Number of pages30
JournalAnnals of Probability
Volume42
Issue number2
Early online date18 Jan 2013
DOIs
Publication statusPublished - Mar 2014

Keywords

  • Brownian motion
  • Skorokhod embedding
  • local time
  • unbiased shift
  • allocation rule
  • Palm measure
  • random measure

Fingerprint Dive into the research topics of 'Unbiased shifts of Brownian motion'. Together they form a unique fingerprint.

  • Cite this

    Last, G., Morters, P., & Thorisson, H. (2014). Unbiased shifts of Brownian motion. Annals of Probability, 42(2), 431-463. https://doi.org/10.1214/13-AOP832