Constrained Brownian processes and constrained Brownian bridges
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Publication:3302946
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Cites work
- A Karhunen-Loève expansion for a mean-centered Brownian bridge
- Airy distribution function: from the area under a Brownian excursion to the maximal height of fluctuating interfaces
- Conditional brownian motion and the boundary limits of harmonic functions
- Conditioned stochastic differential equations: theory, examples and application to finance.
- Effective Langevin equations for constrained stochastic processes
- Generalized Gaussian bridges
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- Inequivalence of nonequilibrium path ensembles: the example of stochastic bridges
- Nonequilibrium Markov processes conditioned on large deviations
- Stochastic calculus for finance. II: Continuous-time models.
- The critical catastrophe revisited
Cited in
(15)- Effective Langevin equations for constrained stochastic processes
- Sweetest taboo processes
- Brownian motion with stiff bonds and rigid constraints
- First-passage dynamics of linear stochastic interface models: numerical simulations and entropic repulsion effect
- Generating stochastic trajectories with global dynamical constraints
- Conditioning diffusion processes with killing rates
- Conditioning two diffusion processes with respect to their first-encounter properties
- Transport properties of diffusive particles conditioned to survive in trapping environments
- Microcanonical conditioning of Markov processes on time-additive observables
- Strongly constrained stochastic processes: the multi-ends Brownian bridge
- Constraint Ornstein-Uhlenbeck bridges
- Generating constrained run-and-tumble trajectories
- Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes
- Conditioning the \textit{tanh-drift} process and related diffusions on first-passage times: exact drifts, bridges, and process equivalences
- Conformal restriction and Brownian motion
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