Constructions of a Brownian path with a given minimum

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Citation: Jean Bertoin, Jim Pitman, Juan Ruiz de Chavez (1999) Constructions of a Brownian path with a given minimum. Electronic Comm. Probab. (RSS)


Download: http://www.math.washington.edu/~ejpecp/ECP/viewarticle.php?id=1586&layout=abstract

Tagged: Mathematics (RSS) probability (RSS), stochastic processes (RSS), Brownian motion (RSS)

Summary:

This article provides a construction of a Brownian path conditioned on its minimum value over a fixed time interval by a simple transformation of a Brownian bridge.




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