0
$\begingroup$

I was told that the difference of two independent brownian bridge process is $\sqrt{2}$ times a brownian bridge process, i.e.,

$$B_{1t} - B_{2t} = \sqrt{2}B_t$$

where $B_{1t}$ and $B_{2t}$ are independent brownian bridge processes, but I can't seem to see why that is. Can someone validate that it's a true statement? Or is the difference of two brownian bridges something else?

$\endgroup$
1

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.