4.7 Brownian Bridge(part 2) 報告人：李振綱. Outline 4.7.4 Multidimensional Distribution of the Brownian Bridge 4.7.4 Multidimensional Distribution of the Brownian.

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Presentation transcript:

4.7 Brownian Bridge(part 2) 報告人：李振綱

Outline Multidimensional Distribution of the Brownian Bridge Multidimensional Distribution of the Brownian Bridge Brownian Bridge as a Conditioned Brownian Motion Brownian Bridge as a Conditioned Brownian Motion

4.7.4 Multidimensional Distribution of the Brownian Bridge We fix and and let denote the Brownian bridge from a to b on. We also fix. We compute the joint density of. We recall that the Brownian bridge from a to b has the mean function (P.176) and covariance function (P.176) When, we may write this as To simplify notation, we set so that.

We define random variable Because are jointly normal, so that are jointly normal. We compute, and. Brownian Bridge as Gaussian Process (4.7.2)

X,Y are independent Cov(X,Y)=0 If X, Y are normal distribution 課本符號有錯

So we conclude that the normal random variable are independent, and we can write down their joint density, which is we make the change of variables mean Variance 接下來把 z 的部份做變數變換

Where, to find joint density for. We work first on the sum in the exponent to see the effect of this change of variables. We have Now

So this last expression is equal to To change s density, we also need to account for the Jacobian of the change of variables. In this case, we have and all other partial derivatives are zero. This leads to the Jacobian matrix

Whose determinant is. Multiplying by this determinant and using the change of variables worked out above, we obtain the density for, Ch3-5 P.108

4.7.5 Brownian Bridge as a Conditioned Brownian Motion The joint density (4.7.6) for permits us to give one more interpretation for Brownian bridge from a to b on. It is a Brownian motion on this time interval, starting at and conditioned to arrive at b at time T (i.e., conditioned on ). Let be given. The joint density of is This is because is the density for the Brownian motion going from to in the time between and. Similarly, is the density for going from to between time and. The joint density for and is then the product ??

So, the density of conditioned on is thus the quotient and this is of (4.7.6). Finally, let us define to be the maximum value obtained by the Brownian bridge from a to b on. This random variable has the following distribution.

Corollary The density of is Proof : Because the Brownian bridge from 0 to on is a Brownian motion conditioned on, the maximum of on is the maximum of on conditioned on. Therefore, the density of was computed in Corollary and is The density of can be obtained by translating from the initial condition to and using (4.7.9). In particular, in (4.7.9) we replace by and replace by. This result in (4.7.8).

Thank you for your listening!!