Brownian Bridge
Overview
The Brownian Bridge is an extension of the notion of a
Brownian Motion
where both the beginning and end point is specified. In the simple definition, a brownian bridge is a random process {% X_t %}
such that {% X_0 = 0 %} and {% X_1 = 0 %}.
A brownian bridge can be defined as
{% X_t = Z_t - t \times Z_t %}
where {% Z_t %} is a brownian motion.
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