A note about the Gaussian property of the Brownian bridge

Ramón Gutiérrez and Mariano J. Valderrama

Applied Stochastic Models and Data Analysis, 1992, vol. 8, issue 1, 1-5

Abstract: The Gaussian property of the Brownian bridge is characterized as an application of Ramachandran's theorem in terms of the independence of the random variables that appear in the Karhunen‐Loéve expansion of the process. A reference about the construction of the Brownian bridge by means of functional transformations is also included.

Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:8:y:1992:i:1:p:1-5

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