Maik Görgens Uppsala universitet: The zero area Brownian bridge
Abstract:
We consider the Brownian motion $W$ on the interval $[0,1]$. The
Brownian bridge $B$ arises from the Brownian motion by pinning $W_1$
down to $0$, i.e., the Brownian bridge arises by conditioning the
Brownian motion to fulfill $W_1 = 0$. We condition the Brownian bridge
further by requiring $\int_0^1 B_s ds = 0$. We call the resulting
Gaussian process on $[0,1]$ the zero area Brownian bridge and denote
it by $M$. In this talk, we calculate a non-anticipative
representation of $M$.
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