A Brownian bridge is a continuous-time stochastic process B(t) whose probability distribution is the conditional probability distribution of a Wiener process W(t) (a mathematical model of Brownian motion) given the condition that B(1) = 0. More precisely:
The expected value of the bridge is zero, with variance t(1 − t), implying that the most uncertainty is in the middle of the bridge, with zero uncertainty at the nodes. The covariance of B(s) and B(t) is s(1 − t) if s < t. The increments in a Brownian bridge are not independent.
Read more about Brownian Bridge: Relation To Other Stochastic Processes, Intuitive Remarks, General Case
Famous quotes containing the word bridge:
“In bridge clubs and in councils of state, the passions are the same.”
—Mason Cooley (b. 1927)