Construction of a Brownian Path With a Given Minimum
Work
Year: 1999
Type: article
Abstract: We construct a Brownian path conditioned on its minimum value over a fixed time interval by simple transformations of a Brownian bridge.
Institutions Sorbonne Université, University of California, Berkeley
Cites: 20
Cited by: 19
Related to: 10
FWCI: 0.328
Citation percentile (by year/subfield): 81.14
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Sustainable cities and communities
Open Access status: gold
APC paid (est): $675