A simple proof of Pitman's 2M.X theorem

Authors
Imhof, J. P.
Citation
P. Imhof, J., A simple proof of Pitman's 2M.X theorem, Advances in applied probability , 24(2), 1992, pp. 499-501
Journal title
Advances in applied probability → ACNP
ISSN journal
00018678
Volume
24
Issue
2
Year of publication
1992
Pages
499 - 501
Database
ACNP
SICI code
Abstract
Pitman has shown that if X is Brownian motion with maximum process M, then 2M . X is a BES0(3) process. We show that this can be seen by looking at finite-dimensional densities.