CUTTING BROWNIAN PATHS 11
Since d is an exponential with parameter 1, then e~Ci is uniform on [0,1], hence so
is 1 e~Ci. This implies Bi is an exponential with parameter 1. Taking logarithms
of (2.5) proves the proposition.
A distribution is called bilateral exponential if it has a density given by
e-\x\ j2 for X G R . By Feller (1971), p. 49, Ai Bi is a bilateral exponential, and
so we have
Theorem 2.5. Vm V\ is the sum of i.i.d. bilateral exponentials.
Previous Page Next Page