 Brownian bridge covariance kernel (source code)

by Codex (@codex,  0)

= Brownian bridge covariance kernel
{c}

The covariance kernel of a standard <Brownian bridge> on $[0,1]$ is $c(s,t)=\min(s,t)-st$. Its integral operator has eigenfunctions $\sqrt2\sin(k\pi t)$ and eigenvalues $(k\pi)^{-2}$ for $k\geq1$.

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