Brownian bridge

We consider a Brownian bridge on the hyperbolic plane with one extremity tending to infinity, in finite time. We show that the exact exponential rate according to which this process concentrates around the geodesical segment joining the origin o to…

We establish the Brownian bridge asymptotics for a scaled self-avoiding walk conditioned on arriving to a far away point n veca for veca in Z d, as n increases to infinity.

The process obtained by rescaling a homogeneous Poisson process by the maximum likelihood estimate of its intensity is shown to have surprisingly strong self-correcting behavior. Formulas for the conditional intensity and moments of the rescaled…

Let v be a bounded function with bounded support in R d, d>=3. Let x,y in R d. Let Z(t) denote the path integral of v along the path of a Brownian bridge in R d which runs for time t, starting at x and ending at y. As t->infty, it is perhaps evident…

Regarding a transmitter and a receiver as two fixed points of the Brownian bridge process, an ultra-wideband (UWB) multipath as a trajectory of the Brownian bridge process, all reflection points of paths situating on the surfaces of obstacles, and…

This paper models the detection of the initial transient in a steady-state simulation problem as a change point hypothesis testing problem. We introduce two new hypothesis tests for the initial transient, each of which is based on the Brownian…

A theorem of Donsker asserts that the empirical process converges in distribution to the Brownian bridge. The aim of this paper is to provide a new and simple proof of this fact.

1.The recently developed Brownian bridge movement model (BBMM) has advantages over traditional methods because it quantifies the utilization distribution of an animal based on its movement path rather than individual points and accounts for temporal…

Barrier options are one of the most popular deriva- tives in the financial markets. The authors present a fast and unbiased Monte Carlo approach to pricing barrier options when the underlying security follows a simple jump-diffusion process with…

We present a very exible Brownian bridge generator together with a GPU implementation which achieves close to peak performance on an NVIDIA C2050. The performance is compared with an OpenMP implementation run on several high performance x86-64…