Pitman and Yor (1998) give identities between two σ-finite measures on path spaces relating to Bessel processes. For dimensions δ ∈ (2, 4) these measures are the excursion laws for Bessel processes of dimensions 4 − δ ∈ (0, 2). In this article, we use this result and the last exit decompositions of recurrent Bessel processes to derive results on the maxima of Bessel bridges and related results.
Mihael Perman (Tue,) studied this question.