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arXiv · 2407.19490

Online minimum search for a Brownian bridge

Erik Wu·Shannon Starr
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Abstract

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.

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Erik Wu, Shannon Starr. 2024-07-28. Online minimum search for a Brownian bridge. https://arxiv.org/abs/2407.19490

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