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Let $(W_t)_{t\in[0,T]}$ be a Brownian bridge such that $W_0=a$ and $W_T=b$, the probability that $\forall t\in[0,T],W_t\geqslant x$ given the parameter $x\leqslant\min(a,b)$ is well known : $$ \mathbb{P}(\forall t\in[0,T],W_t\geqslant x)=1-e^{\frac{2(x-a)(b-x)}{T}} $$ (see Probability of general Brownian (or non) bridge to be higher than given parameter? for a proof). My question is : Is there a generalization of this result for $d$-dimensional Brownian bridges ? That is, if $(W_t)_{t\in[0,T]}$ is a $d$-dimensional Brownian bridge such that $W_0=a\in\mathbb{R}^d$ and $W_T=b\in\mathbb{R}^d$, what is the probability that for all $t\in [0,T],\|W_t\|\geqslant x$ where $x>0$, for a convenient norm $\|\cdot\|$ whether it is $\|\cdot\|_2$, $\|\cdot\|_{\infty}$ or any norm that makes it possible to compute/approximate.

In the case where $\|\cdot\|$ is the euclidean norm of $\mathbb{R}^d$, $t\mapsto\|W_t\|$ is a Bessel process which is well known but I can't find any related paper tackling the above probability.

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  • $\begingroup$ A comment to the last paragraph: I guess for the Bessel bridge some results are available, but the norm of the Brownian bridge is not the Bessel bridge. $\endgroup$ Commented May 6, 2021 at 7:19
  • $\begingroup$ When either the starting or ending point is 0, then the Euclidean norm of the Brownian bridge and the corresponding Bessel bridge have the same law as processes. When both starting and ending points aren't 0, then these laws are absolutely continuous with an explicit mutual density. See the 2004 paper A remark about the norm of a Brownian bridge by Yor and Zambotti. $\endgroup$
    – HMPanzo
    Commented May 6, 2021 at 21:43

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