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Time reversal of a Brownian bridge ((Xt​)0≤t≤1​=d(X1−t​)0≤t≤1​)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Brownian motion Brownian bridge
2026-10-14  0 By others on same topic  0 Discussions Create my own version
The Brownian bridge covariance kernel is invariant under reversing both times, and its mean is zero. The two centered Gaussian processes therefore have equal finite-dimensional laws. Equality on countably many rational coordinates transfers the event of continuity at zero to the reversed endpoint. Interior continuity then extends the rational-time limit to all times. This proves the terminal continuity of the stochastic integral representation of a Brownian bridge.

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  1. Brownian bridge
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  • Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 38 / 1 / c / Solution
  • Stochastic integral representation of a Brownian bridge

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