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Brownian bridge independence from its endpoint

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Brownian motion Brownian bridge
2026-10-05  0 By others on same topic  0 Discussions Create my own version
For standard Brownian motion, the Brownian bridge Ut​=Bt​−tB1​, 0≤t≤1, is independent of B1​. Every finite vector of bridge coordinates is jointly multivariate normal with B1​, and its cross-covariances with B1​ vanish. The independence of uncorrelated jointly normal variables and independence extended from generating pi-systems prove independence of the whole stochastic process.

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  1. Brownian bridge
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  • Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 201 / 4 / b / Solution

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