General Case
For the general case when B(t1) = a and B(t2) = b, the distribution of B at time t ∈ (t1, t2) is normal, with mean
and the covariance between B(s) and B(t), with s
Read more about this topic: Brownian Bridge
Famous quotes containing the words general and/or case:
“Can a woman become a genius of the first class? Nobody can know unless women in general shall have equal opportunity with men in education, in vocational choice, and in social welcome of their best intellectual work for a number of generations.”
—Anna Garlin Spencer (1851–1931)
“In case you’ve never done it, this is known as washing your hands.”
—Robert Pirosh, U.S. screenwriter, George Seaton, George Oppenheimer, and Sam Wood. Dr. Hugo Z. Hackenbush (Groucho Marx)