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 that the distribution of Z(t) converges weakly to that of the sum of the integrals of v along the paths of two independent Brownian motions, starting at x and y and running forever.Here we prove a stronger result, namely convergence of the corresponding moment generating functions and of moments. This result is needed for applications in physics.
We show that simple explicit formulas can be obtained for several relevant quantities related to the laws of the uniformly sampled Brownian bridge, Brownian meander and three dimensional Bessel process. To prove such results, we use the distribution of a triplet of random variables associated to the pseudo-Brownian bridge together with various relationships between the laws of these four processes.
We study the problem of stopping an $α$-Brownian bridge as close as possible to its global maximum. This extends earlier results found for the Brownian bridge (the case $α=1$). The exact behavior for $α$ close to $0$ is investigated.
We discuss the distributions of three functionals of the free Brownian bridge: its $Ł^2$-norm, the second component of its signature and its Lévy area. All of these are freely infinitely divisible. We introduce two representations of the free Brownian bridge as series of free semicircular random variables are used, analogous to the Fourier representations of the classical Brownian bridge due to \ts{Lévy} and \ts{Kac}.
In a recent work J. Pitman and W. Tang defined the Vervaat's transform for a Brownian bridge with two different endpoints and for a Brownian motion between times $0$ and $1$. They proved some path decomposition properties for these Vervaat's transforms and raised open questions on their semi-martingale decomposition. In this paper we give an alternative proof for the path decomposition and answer the open questions.
We establish the Brownian bridge asymptotics for a scaled self-avoiding walk conditioned on arriving to a far away point $n \vec{a}$ for $\vec{a}$ in $Z^d$, as $n$ increases to infinity.
We show that the range of a long Brownian bridge in the hyperbolic space converges after suitable renormalisation to the Brownian continuum random tree. This result is a relatively elementary consequence of $\bullet$ A theorem by Bougerol and Jeulin, stating that the rescaled radial process converges to the normalized Brownian excursion, $\bullet$ A property of invariance under re-rooting, $\bullet$ The hyperbolicity of the ambient space in the sense of Gromov. A similar result is obtained for the rescaled infinite Brownian loop in hyperbolic space.
The standard functional central limit theorem for a renewal process with finite mean and variance, results in a Brownian motion limit. This note shows how to obtain a Brownian bridge process by a direct procedure that does not involve conditioning. Several examples are also considered.
For a Brownian bridge from $0$ to $y$ we prove that the mean of the first exit time from interval $(-h,h), \,\, h>0,$ behaves as $O(h^2)$ when $h \downarrow 0.$ Similar behavior is seen to hold also for the 3-dimensional Bessel bridge. For Brownian bridge and 3-dimensional Bessel bridge this mean of the first exit time has a puzzling representation in terms of the Kolmogorov distribution. The result regarding the Brownian bridge is applied to prove in detail an estimate needed by Walsh to determine the convergence of the binomial tree scheme for European options.
We observe that the probability distribution of the Brownian motion with drift $-c \frac x {1-t}$ where $c\not =1$ is singular with respect to that of the classical Brownian bridge measure on $[0,1]$, while their Cameron-Martin spaces are equal set-wise if and only if $c> \frac 12$, providing also examples of exponential martingales on $[0,1)$ not extendable to a continuous martingale on $[0,1]$. Other examples of generalised Brownian bridges are also studied.
We identify the distribution of a natural triplet associated with the pseudo-Brownian bridge. In particular, for $B$ a Brownian motion and $T_1$ its first hitting time of the level one, this remarkable law allows us to understand some properties of the process $(B_{uT_1}/\sqrt{T_1}, u\leq 1)$ under uniform random sampling.
Functionals of Brownian bridge arise as limiting distributions in nonparametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion. Only the Poisson character of the excursion process will be used. Particular cases of calculations include the distributions of the Kolmogorov-Smirnov statistic, the Kuiper statistic, and the ratio of the maximum positive ordinate to the minumum negative ordinate.
For a continuous function $f \in \mathcal{C}([0,1])$, define the Vervaat transform $V(f)(t):=f(τ(f)+t \mod1)+f(1)1_{\{t+τ(f) \geq 1\}}-f(τ(f))$, where $τ(f)$ corresponds to the first time at which the minimum of $f$ is attained. Motivated by recent study of quantile transforms for random walks and Brownian motion, we study the Vervaat transform of Brownian motion and Brownian bridges with arbitary endpoints. When the two endpoints of the bridge are not the same, the Vervaat transform is not Markovian. We describe its distribution by path decompositions and study its semimartingale properties. …
Aldous and Pitman (1994) studied asymptotic distributions, as n tends to infinity, of various functionals of a uniform random mapping of a set of n elements, by constructing a mapping-walk and showing these mapping-walks converge weakly to a reflecting Brownian bridge. Two different ways to encode a mapping as a walk lead to two different decompositions of the Brownian bridge, each defined by cutting the path of the bridge at an increasing sequence of recursively defined random times in the zero set of the bridge. The random mapping asymptotics entail some remarkable identities involving the r…
The space-time distribution, $Q_A(x,dt dξ)$ say, of Brownian hitting of a bounded Borel set $A$ of the $d$-dimensional Euclidian space is studied. We derive the asymptotic form of the leading term of the time-derivative $Q_A(x, dtdξ)/dt$ for each $d =2, 3, ...$, valid uniformly with respect to the starting point $x$ of the Brownian motion, which result extends significantly the classical results for $Q_A(x, dt dξ)$ itself by Hunt ($d=2$), Joffe and Spitzer ($d= 3, 4,...$). The results are applied to find the asymptotic form of the expected volume of Wiener sausage for the Brownian bridge joini…
For the d-dimensional model of a subcritical bond percolation (p<p_c) and a point \vec{a} in Z^d, we prove that a cluster conditioned on connecting points (0,...,0) and n\vec{a} if scaled by 1/(n|vec{a}|) along \vec{a} and by 1/sqrt{n} in the orthogonal direction converges asymptotically to Time x (d-1)-dimensional Brownian Bridge.
We introduce and study Brownian bridges to submanifolds. Our method involves proving a general formula for the integral over a submanifold of the minimal heat kernel on a complete Riemannian manifold. We use the formula to derive lower bounds, an asymptotic relation and derivative estimates. We also see a connection to hypersurface local time. This work is motivated by the desire to extend the analysis of path and loop spaces to measures on paths which terminate on a submanifold.
Let U be a Haar distributed unitary matrix in U(n)or O(n). We show that after centering the double index process $$ W^{(n)} (s,t) = \sum_{i \leq \lfloor ns \rfloor, j \leq \lfloor nt\rfloor} |U_{ij}|^2 $$ converges in distribution to the bivariate tied-down Brownian bridge. The proof relies on the notion of second order freeness.
This paper is concerned with various aspects of the Slepian process $(B_{t+1} - B_t, t \ge 0)$ derived from a one-dimensional Brownian motion $(B_t, t \ge 0 )$. In particular, we offer an analysis of the local structure of the Slepian zero set $\{t : B_{t+1} = B_t \}$, including a path decomposition of the Slepian process for $0 \le t \le 1$. We also establish the existence of a random time $T$ such that $T$ falls in the the Slepian zero set almost surely and the process $(B_{T+u} - B_T, 0 \le u \le 1)$ is standard Brownian bridge.
Results of penalization of a one-dimensional Brownian motion $(X_t) $, by its one-sided maximum $\dis (S_t=\sup_{0 \leq u \leq t}X_u)$, which were recently obtained by the authors are improved with the consideration-in the present paper- of the asymptotic behaviour of the likewise penalized Brownian bridges of length $t$, as $t\to \infty$, or penalizations by functions of $(S_t,X_t)$, and also the study of the speed of convergence, as $t\to \infty$, of the penalized distributions at time $t$.
For a continuous function $f \in \mathcal{C}([0,1])$, define the Vervaat transform $V(f)(t):=f(τ(f)+t \mod1)+f(1)1_{\{t+τ(f) \geq 1\}}-f(τ(f))$, where $τ(f)$ corresponds to the first time at which the minimum of $f$ is attained. Motivated by recent study of quantile transforms of random walks and Brownian motion, we investigate the Vervaat transform of Brownian motion and Brownian bridges with arbitrary endpoints. When the two endpoints of the bridge are not the same, the Vervaat transform is not Markovian. We describe its distribution by path decomposition and study its semi-martingale proper…
We introduce an infinite time horizon Brownian bridge which is determined by a stochastic Langevin equation with time dependent drift coefficient. We show that this process goes to zero almost surely when the time goes to infinity and study the existence and asymptotic behavior of its local time as well as its Hölder continuity in time variable and in location variable. The main difficulty is the lack of stationarity of the process so that the powerful tools for stationary (Gaussian) processes are not applicable. We employ the Garsia-Rodemich-Rumsey inequality to get around this type of diffic…
This article contains both a point process and a sequential description of the greatest convex minorant of Brownian motion on a finite interval. We use these descriptions to provide new analysis of various features of the convex minorant such as the set of times where the Brownian motion meets its minorant. The equivalence of the these descriptions is non-trivial, which leads to many interesting identities between quantities derived from our analysis. The sequential description can be viewed as a Markov chain for which we derive some fundamental properties.
We study the rate of concentration of a Brownian bridge in time one around the corresponding geodesical segment on a Cartan-Hadamard manifold with pinched negative sectional curvature, when the distance between the two extremities tends to infinity. This improves on previous results by A. Eberle, and one of us. Along the way, we derive a new asymptotic estimate for the logarithmic derivative of the heat kernel on such manifolds, in bounded time and with one space parameter tending to infinity, which can be viewed as a counterpart to Bismut's asymptotic formula in small time.
The problem of stopping a Brownian bridge with an unknown pinning point to maximise the expected value at the stopping time is studied. A few general properties, such as continuity and various bounds of the value function, are established. However, structural properties of the optimal stopping region are shown to crucially depend on the prior, and we provide a general condition for a one-sided stopping region. Moreover, a detailed analysis is conducted in the cases of the two-point and the mixed Gaussian priors, revealing a rich structure present in the problem.
We generalize the notion of Gaussian bridges by conditioning Gaussian processes given that certain linear functionals of the sample paths vanish. We show the equivalence of the laws of the unconditioned and the conditioned process and by an application of Girsanov's theorem, we show that the conditioned process follows a stochastic differential equation (SDE) whenever the unconditioned process does. In the Markovian case, we are able to determine the coefficients in the SDE of the conditioned process explicitly. Our main example is Brownian motion on $[0,1]$ pinned down in 0 at time 1 and cond…
Let $(B(t))_{t\in [0,1]}$ be the linear Brownian motion and $(X_n(t))_{t\in [0,1]}$ be the $(n-1)$-fold integral of Brownian motion, $n$ being a positive integer: $$ X_n(t)=\int_0^t \frac{(t-s)^{n-1}}{(n-1)!} \,\dd B(s) for any $t\in[0,1]$. $$ In this paper we construct several bridges between times 0 and 1 of the process $(X_n(t))_{t\in [0,1]}$ involving conditions on the successive derivatives of $X_n$ at times 0 and 1. For this family of bridges, we make a correspondance with certain boundary value problems related to the one-dimensional polyharmonic operator. We also study the classical pr…
We prove an integration by parts formula for the probability measure induced by the semi-classical Riemmanian Brownian bridge over a manifold with a pole.
In this paper we study fluctuations of extreme particles of nonintersecting Brownian bridges starting from $a_1\leq a_2\leq \cdots \leq a_n$ at time $t=0$ and ending at $b_1\leq b_2\leq \cdots\leq b_n$ at time $t=1$, where $μ_{A_n}=(1/n)\sum_{i}δ_{a_i}, μ_{B_n}=(1/n)\sum_i δ_{b_i}$ are discretization of probability measures $μ_A, μ_B$. Under regularity assumptions of $μ_A, μ_B$, we show as the number of particles $n$ goes to infinity, fluctuations of extreme particles at any time $0<t<1$, after proper rescaling, are asymptotically universal, converging to the Airy point process.
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary $t\mapsto a+bt,\ a\geq 0,\,b\in \R,$ by a reflecting Brownian motion. The main tool hereby is Doob's formula which gives the probability that Brownian motion started inside a wedge does not hit this wedge. Other key ingredients are the time inversion property of Brownian motion and the time reversal property of diffusion bridges. Secondly, this methodology can also be applied for the three dimensional Bessel process. Thirdly, we consider Bessel bridges from 0 to 0 with dimension parameter $δ>…
The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is observed from time 0 to $s>0$ at discrete times and aim to estimate, conditionally on these observations, the probability that the non-observed process $X$ crosses a fixed barrier after a given time $t>s$. We formulate this problem as a usual nonlinear filtering problem and use optimal quantization and Monte Carlo simulations techniques to estimate the invol…
We study the law of the minimum of a Brownian bridge, conditioned to take specific values at specific points, and the law of the location of the minimum. They are used to compare some non-adaptive optimisation algorithms for black-box functions for which the Brownian bridge is an appropriate probabilistic model and only a few points can be sampled.
We consider Kallenberg's hypothesis on the characteristic function of a Lévy process and show that it allows the construction of weakly continuous bridges of the Lévy process conditioned to stay positive. We therefore provide a notion of normalized excursions Lévy processes above their cumulative minimum. Our main contribution is the construction of a continuous version of the transition density of the Lévy process conditioned to stay positive by using the weakly continuous bridges of the Lévy process itself. For this, we rely on a method due to Hunt which had only been shown to provide upper …
The density distribution function of the integral of the exponential Brownian motion is determined explicitly in the form of a rapidly convergent series.
We study a simple decision problem on the scaling parameter in the $α$-Brownian bridge $X^{(α)}$ on the interval $[0,1]$: given two values $α_0, α_1 \geq 0$ with $α_0 + α_1 \geq 1$ and some time $0 \leq T \leq 1$ we want to test $H_0: α= α_0$ vs. $H_1: α= α_1$ based on the observation of $X^{(α)}$ until time $T$. The likelihood ratio can be written as a functional of a quadratic form $ψ(X^{(α)})$ of $X^{(α)}$. In order to calculate the distribution of $ψ(X^{(α)})$ under the null hypothesis, we generalize the Karhunen-Loève Theorem to positive finite measures on $[0,1]$ and compute the Karhunen…
Several Brownian areas are considered in this paper: the Brownian excursion area, the Brownian bridge area, the Brownian motion area, the Brownian meander area, the Brownian double meander area, the positive part of Brownian bridge area, the positive part of Brownian motion area. We are interested in the asymptotics of the right tail of their density function. Inverting a double Laplace transform, we can derive, in a mechanical way, all terms of an asymptotic expansion. We illustrate our technique with the computation of the first four terms. We also obtain asymptotics for the right tail of th…
In this paper, we combine Hida distribution theory and Sobolev-Watanabe-Kree spaces in order to study finely the link between forward integrals obtained by regularization and Wick-Itô integrals with respect to fractional Brownian motion and the Rosenblatt process. The new methodology developed in this paper allows to retrieve results for fractional Brownian motion and to obtain new results regarding the Rosenblatt process. In particular, an Itô formula for functionals of the Rosenblatt process is obtained which holds in the space of square-integrable random variables.
Consider a system of $N$ non-intersecting Brownian bridges in $[0,1]$, and let $\mathcal M_N(p)$ be the maximal height attained by the top path in the interval $[0,p]$, $p\in[0,1]$. It is known that, under a suitable rescaling, the distribution of $\mathcal M_N(p)$ converges, as $N\to\infty$, to a one-parameter family of distributions interpolating between the Tracy-Widom distributions for the Gaussian Orthogonal and Unitary Ensembles (corresponding, respectively, to $p\to1$ and $p\to0$). It is also known that, for fixed $N$, $\mathcal M_N(1)$ is distributed as the top eigenvalue of a random m…
Digital-to-analog converters (DAC) transform signals from the abstract digital domain to the real analog world. In many applications, DAC's play a crucial role. Due to variability in the production, various errors arise that influence the performance of the DAC. We focus on the current errors, which describe the fluctuations in the currents of the various unit current elements in the DAC. A key performance measure of the DAC is the Integrated Non-linearity (INL), which we study in this paper. There are several DAC architectures. The most widely used architectures are the thermometer, the binar…
We prove change of variables formulas [Itô formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones. These change of variables formulas provide us integral representations of functions of average in the sense of generalized Lebesgue-Stieltjes integral.
The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional Brownian motion with drift. As a result, a small time approximation of the joint density is readily obtained by substituting the conditional expectation under the bridge measure by a single path: the modal-path from the initial point to the terminal point.
In the paper $k$-multiple self-intersection local time for planar Gaussian integrators generated by linear operator with nontrivial kernel is studied. In this case additional singularities arise in its formal Fourier--Wiener transform. In case $k=2$ the set of singularities is the finite number of points. In case $k>2$ it contains intervals and hyperplanes. In the first and the second cases using two different approaches related on structure of set of singularities we show that "new" singularities do not imply on the convergence of integral corresponding to the formal Fourier--Wiener transform…
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.
We show that if a random variable is a final value of an adapted Holder continuous process, then it can be represented as a stochastic integral with respect to fractional Brownian motion, and the integrand is an adapted process, continuous up to the final point.
In this paper we study the integral of the supremum process of standard Brownian motion. We present an explicit formula for the moments of the integral (or area) A(T), covered by the process in the time interval [0,T]. The Laplace transform of A(T) follows as a consequence. The main proof involves a double Laplace transform of A(T) and is based on excursion theory and local time for Brownian motion.
We derive general sufficient conditions for the existence of Riemann-Stieltjes integrals $\int_a^b Yd X$. Our results extend the classical conditions of L.C.Young and improve some recent results that deal with integrals involving a fractional Brownian motion with the Hurst index $H>1/2$.
We find an explicit expression for the cross-covariance between stochastic integral processes with respect to a $d$-dimensional fractional Brownian motion (fBm) $B_t$ with Hurst parameter $H>1/2$, where the integrands are vector fields applied to $B_t$. It provides, for example, a direct alternative proof of Y. Hu and D. Nualart's result that the stochastic integral component in the fractional Bessel process decomposition is not itself a fractional Brownian motion.
In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion (GSDEs) with integral-Lipschitz conditions on their coefficients.
