2 papers
math.PR2024
Online minimum search for a Brownian bridge
Erik Wu, Shannon Starr
In this short note we consider the computational problem of numerically finding the minimum and arg-min of a Brownian bridge. Using well-known results by Pitman, Tanaka, Vervaat an…
math.PR2024
Online minimum search for Brownian motion and the Cauchy process: Multiple approaches
Shannon Starr, Erik Wu
The distribution for the minimum of Brownian motion or the Cauchy process is well-known using the reflection principle. Here we consider the problem of finding the sample-by-sample…