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:
“The world can doubtless never be well known by theory: practice is absolutely necessary; but surely it is of great use to a young man, before he sets out for that country, full of mazes, windings, and turnings, to have at least a general map of it, made by some experienced traveller.”
—Philip Dormer Stanhope, 4th Earl Chesterfield (1694–1773)
“Instructing in cures, therapists always recommend that “each case be individualized.” If this advice is followed, one becomes persuaded that those means recommended in textbooks as the best, means perfectly appropriate for the template case, turn out to be completely unsuitable in individual cases.”
—Anton Pavlovich Chekhov (1860–1904)