Brownian motion conditioned to have restricted L₂-norm

2023/12/20 by Aurzada, Frank, Lifshits, Mikhail, Schickentanz, Dominic T.
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2312.12982

Abstract

We condition a Brownian motion on having an atypically small L₂-norm on a long time interval. The obtained limiting process is a non-stationary Ornstein-Uhlenbeck process.

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