On the excision of Brownian bridge paths

Abstract

Path transformations are fundamental to the study of Brownian motion and related stochastic processes, offering elegant constructions of the Brownian bridge, meander, and excursion. Central to this theory is the well-established link between Brownian motion and the $3$-dimensional Bessel process ${\rm BES}(3)$. This paper is specifically motivated by Pitman and Yor (2003), who showed that a ${\rm BES}(3)$ process can be constructed by excising the excursions of a Brownian path below its past maximum that reach zero and concatenating the remaining excursions. Our main result shows that a similar excision procedure, when applied to a Brownian bridge, can be related to a $3$-dimensional Bessel bridge.