Construction and sample path properties of Brownian house-moving between two curves
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2020
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| _version_ | 1866913568580960256 |
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| author | Ishitani, Kensuke Hatakenaka, Daisuke Suzuki, Keisuke |
| author_facet | Ishitani, Kensuke Hatakenaka, Daisuke Suzuki, Keisuke |
| contents | This study aims to construct a stochastic process called "Brownian house-moving," which is a Brownian bridge conditioned to stay between two curves. To construct this process, statements are prepared on the weak convergence of conditioned Brownian motions, conditioned Brownian bridges, and conditioned three-dimensional Bessel bridges. Moreover, the sample path properties of Brownian house-moving are studied as well. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2006_02726 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | Construction and sample path properties of Brownian house-moving between two curves Ishitani, Kensuke Hatakenaka, Daisuke Suzuki, Keisuke Probability Primary 60F17, Secondary 60J25 This study aims to construct a stochastic process called "Brownian house-moving," which is a Brownian bridge conditioned to stay between two curves. To construct this process, statements are prepared on the weak convergence of conditioned Brownian motions, conditioned Brownian bridges, and conditioned three-dimensional Bessel bridges. Moreover, the sample path properties of Brownian house-moving are studied as well. |
| title | Construction and sample path properties of Brownian house-moving between two curves |
| topic | Probability Primary 60F17, Secondary 60J25 |
| url | https://arxiv.org/abs/2006.02726 |