Electronic Communications in Probability

Construction of a Brownian Path With a Given Minimum

Jean Bertoin, Jim Pitman, and Juan Chavez

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We construct a Brownian path conditioned on its minimum value over a fixed time interval by a simple transformation of a Brownian bridge.

Article information

Electron. Commun. Probab., Volume 4 (1999), paper no. 5, 31-37.

Accepted: 9 July 1999
First available in Project Euclid: 2 March 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60 J 65

Conditioned Brownian motion path transformations

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Bertoin, Jean; Pitman, Jim; Chavez, Juan. Construction of a Brownian Path With a Given Minimum. Electron. Commun. Probab. 4 (1999), paper no. 5, 31--37. doi:10.1214/ECP.v4-1003. https://projecteuclid.org/euclid.ecp/1456938427

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