A Note on the Integral of a Brownian Bridge
β Scribed by David S. Dean and Kalvis M. Jansons
- Book ID
- 123644030
- Publisher
- The Royal Society
- Year
- 1992
- Tongue
- English
- Weight
- 97 KB
- Volume
- 437
- Category
- Article
- ISSN
- 0962-8444
- DOI
- 10.2307/52137
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π SIMILAR VOLUMES
The purpose of this note is to identify an interesting and surprising duality between the equations governing the probability distribution and expected value functional of the stochastic process deΓΏned by At := t 0 exp{Zs} ds; t ΒΏ 0; where {Zs: s ΒΏ 0} is a one-dimensional Brownian motion with drift
Pemantle, R. and M.D. Penrose, On path integrals for the high-dimensional Brownian bridge, Journal of Computational and Applied Mathematics 44 (1992) 381-390. Let u be a bounded function with bounded support in [w d, d > 3. Let x, y E Rd. Let Z(t) denote the path integral of u along the path of a Br