From Pitman's local times representation to the Gorin-Shkolnikov identity and beyond

Abstract

We give a novel proof of the Gorin-Shkolnikov identity based on Pitman's SDE representation of Brownian excursion local times. More generally, we derive a family of Gaussian identities for nonlinear functionals of excursion local times, which includes Hariya's identity. These results extend naturally to reflected Brownian bridges conditioned on their local times and to Brownian meanders.