  This paper reviews known results which connect Riemann's integral
representations of his zeta function, involving Jacobi's theta function and its
derivatives, to some particular probability laws governing sums of independent
exponential variables. These laws are related to one-dimensional Brownian
motion and to higher dimensional Bessel processes. We present some
characterizations of these probability laws, and some approximations of
Riemann's zeta function which are related to these laws.
