Construction of a Brownian Path With a Given Minimum

Jean Bertoin; Jim Pitman; Juan Chavez

doi:10.1214/ECP.v4-1003

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Home > Journals > Electron. Commun. Probab. > Volume 4 > Article

1999 Construction of a Brownian Path With a Given Minimum

Jean Bertoin, Jim Pitman, Juan Chavez

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Jean Bertoin,¹ Jim Pitman,² Juan Chavez³
¹Universite Pierre et Marie Curie
²University of California, Berkeley
³UAM-I

Electron. Commun. Probab. 4: 31-37 (1999). DOI: 10.1214/ECP.v4-1003

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Abstract

We construct 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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Jean Bertoin. Jim Pitman. Juan Chavez. "Construction of a Brownian Path With a Given Minimum." Electron. Commun. Probab. 4 31 - 37, 1999. https://doi.org/10.1214/ECP.v4-1003

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Accepted: 9 July 1999; Published: 1999

First available in Project Euclid: 2 March 2016

zbMATH: 1021.60060

MathSciNet: MR1703609

Digital Object Identifier: 10.1214/ECP.v4-1003

Subjects:

Primary: 60 J 65

Keywords: Conditioned Brownian motion , Path transformations

Rights: Creative Commons Attribution 3.0 License

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Vol.4 • 1999

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Jean Bertoin, Jim Pitman, Juan Chavez "Construction of a Brownian Path With a Given Minimum," Electronic Communications in Probability, Electron. Commun. Probab. 4(none), 31-37, (1999)

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