Online minimum search for a Brownian bridge
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866916338626199552 |
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| author | Wu, Erik Starr, Shannon |
| author_facet | Wu, Erik Starr, Shannon |
| contents | In this short note we consider the computational problem of numerically finding the minimum and arg-min of a Brownian bridge. Using well-known results by Pitman, Tanaka, Vervaat and Williams we are able to show that the bisection method has both a small error and a small probability of failure. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_19490 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Online minimum search for a Brownian bridge Wu, Erik Starr, Shannon Probability 60J65, 60G17, 65K10, 68Q87 In this short note we consider the computational problem of numerically finding the minimum and arg-min of a Brownian bridge. Using well-known results by Pitman, Tanaka, Vervaat and Williams we are able to show that the bisection method has both a small error and a small probability of failure. |
| title | Online minimum search for a Brownian bridge |
| topic | Probability 60J65, 60G17, 65K10, 68Q87 |
| url | https://arxiv.org/abs/2407.19490 |