Abstract
We construct a Brownian path conditioned on its minimum value over a fixed time interval by a simple transformation of a Brownian bridge.
Constructions of a Brownian path with a given minimum
Bertoin, Jean; Pitman, Jim; de Chavez, Juan Ruiz (1999). Constructions of a Brownian path with a given minimum. Electronic Communications in Probability, 4:31-37.
Additional indexing
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 07 Faculty of Science > Institute of Mathematics |
| Dewey Decimal Classification: | 510 Mathematics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Statistics, Probability and Uncertainty |
| Language: | English |
| Date: | 9 July 1999 |
| Deposited On: | 25 Jul 2013 06:48 |
| Last Modified: | 09 Jan 2025 02:42 |
| Publisher: | Institute of Mathematical Statistics |
| ISSN: | 1083-589X |
| OA Status: | Gold |
| Free access at: | Publisher DOI. An embargo period may apply. |
| Publisher DOI: | https://doi.org/10.1214/ECP.v4-1003 |
| Related URLs: | http://www.ams.org/mathscinet-getitem?mr=1703609 http://www.zentralblatt-math.org/zbmath/search/?q=an%3A1021.60060 |
Permanent URL
https://doi.org/10.5167/uzh-79487
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Bertoin, Jean