Brownian motion conditioned to have restricted L2-norm
Frank AurzadaMikhail LifshitsDominic T. Schickentanz
所有作者
Frank AurzadaMikhail LifshitsDominic T. Schickentanz
文献摘要
We condition a Brownian motion on having an atypically small L2-norm on a long time interval. The obtained limiting process is a non-stationary Ornstein-Uhlenbeck process.