2020/06/04 by Kensuke Ishitani, Ishitani, Kensuke, Daisuke Hatakenaka +3
Mathematics · Economics, Econometrics and Finance · Biochemistry, Genetics and Molecular Biology · #advanced mathematical theories #Stochastic processes and financial applications #Diffusion and Search Dynamics
paper · pdf · doi:10.48550/arxiv.2006.02726
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.