Brownian Bridge

Initializing live version
Download to Desktop

Requires a Wolfram Notebook System

Interact on desktop, mobile and cloud with the free Wolfram Player or other Wolfram Language products.

A Brownian bridge is a continuous stochastic process with a probability distribution that is the conditional distribution of a Wiener process given prescribed values at the beginning and end of the process. This Demonstration displays a specified number of paths of a Brownian bridge process connecting two values, chosen by the user, at the beginning and end. It also shows (as dashed lines) "small" positive and negative integer multiples of the standard deviation of the process.

Contributed by: Andrzej Kozlowski (March 2011)
Open content licensed under CC BY-NC-SA


Snapshots


Details

The Brownian bridge plays an important role in mathematical finance (e.g., modeling a default-free discount bond). For more details see I. Karatzas and S. Shreve, Brownian Motion and Stochastic Calculus, 2nd ed., New York: Springer, 1991 p. 358.



Feedback (field required)
Email (field required) Name
Occupation Organization
Note: Your message & contact information may be shared with the author of any specific Demonstration for which you give feedback.
Send