A distributional identity for the bivariate Brownian bridge: a nontensor Gaussian field
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Summary: The bivariate Brownian bridge, a nontensor Gaussian Field, is defined by \(B(t_1, t_2) = W (t_1, t_2)\mid_{W(1,1) = 0} = W(t_1, t_2) - t_1 t_2 W(1,1)\), where \(t_1, t_2 \in I = [0,1]\) and \(W(t_1, t_2)\) is a Brownian sheet. We obtain a distributional identity, a consequence of the Karhunen-Loève expansion for the bivariate Brownian bridge by Fredholm integral equation and Laplace transform approach.
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