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arXiv · 2006.02726

Construction and sample path properties of Brownian house-moving between two curves

Kensuke Ishitani·Daisuke Hatakenaka·Keisuke Suzuki
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Abstract

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.

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Kensuke Ishitani, Daisuke Hatakenaka, Keisuke Suzuki. 2020-06-04. Construction and sample path properties of Brownian house-moving between two curves. https://arxiv.org/abs/2006.02726

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