Related papers: Online minimum search for a Brownian bridge

Various issues concerned with the design and sensitivity of the Anderson bridge are discussed. We analyse the circuit using the tools of Network Analysis to determine the conditions under which the balance may be obtained with greater…

We show that the strategy of point counting in o-minimal structures can be applied to various problems on unlikely intersections that go beyond the conjectures of Manin-Mumford and Andr\'e-Oort. We verify the so-called Zilber-Pink…

This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter…

Let $B_n(m)$ be a set picked uniformly at random among all $m$-elements subsets of $\{1,2,\ldots,n\}$. We provide a pathwise construction of the collection $(B_n(m))_{1\leq m\leq n}$ and prove that the logarithm of the least common multiple…

This study aims to construct a stochastic process called "Brownian house-moving," which is a Brownian bridge conditioned to stay between two curves. To construct this process, statements are prepared on the weak convergence of conditioned…

For a Brownian bridge from $0$ to $y$ we prove that the mean of the first exit time from interval $(-h,h), \,\, h>0,$ behaves as $O(h^2)$ when $h \downarrow 0.$ Similar behavior is seen to hold also for the 3-dimensional Bessel bridge. For…

The current understanding of pinned Brownian bridges is based on the Onsager-Machlup (OM) functional. The continuous-time limit of the OM functional can be expressed either by using the Fokker-Planck equation or by using the Radon-Nikodym…

We consider the pricing and the sensitivity calculation of continuously monitored barrier options. Standard Monte Carlo algorithms work well for pricing these options. Therefore they do not behave stable with respect to numerical…

The splitting number of a link is the minimal number of crossing changes between different components required to convert it into a split link. We obtain a lower bound on the splitting number in terms of the (multivariable) signature and…

The n-th crossing number of a graph G, denoted cr_n(G), is the minimum number of crossings in a drawing of G on an orientable surface of genus n. We prove that for every a>b>0, there exists a graph G for which cr_0(G) = a, cr_1(G) = b, and…

We introduce a simple method for proving lower bounds for the size of the smallest percolating set in a certain graph bootstrap process. We apply this method to determine the sizes of the smallest percolating sets in multidimensional tori…

In this paper we prove that the \textsc{Min-Bisection} problem is NP-hard on \emph{unit disk graphs}, thus solving a longstanding open question.

We present an algorithm to efficiently sample first-passage times for fractional Brownian motion. To increase the resolution, an initial coarse lattice is successively refined close to the target, by adding exactly sampled midpoints, where…

Spectral graph bisections are a popular heuristic aimed at approximating the solution of the NP-complete graph bisection problem. This technique, however, does not always provide a robust tool for graph partitioning. Using a special class…

The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is…

For a continuous function $f \in \mathcal{C}([0,1])$, define the Vervaat transform $V(f)(t):=f(\tau(f)+t \mod1)+f(1)1_{\{t+\tau(f) \geq 1\}}-f(\tau(f))$, where $\tau(f)$ corresponds to the first time at which the minimum of $f$ is attained.…

We present a practical algorithm to determine the minimal genus of non-orientable spanning surfaces for 2-bridge knots, called the crosscap numbers. We will exhibit a table of crosscap numbers of 2-bridge knots up to 12crossings (all 362 of…

The main message in this paper is that there are surprisingly many different Brownian bridges, some of them - familiar, some of them - less familiar. Many of these Brownian bridges are very close to Brownian motions. Somewhat loosely…

Given a set of $n$ points on a plane, in the Minimum Weight Triangulation problem, we wish to find a triangulation that minimizes the sum of Euclidean length of its edges. This incredibly challenging problem has been studied for more than…

We study the rate of convergence of two discrete processes towards the Brownian bridge: the random walk conditioned to be zero at time 2n and the empirical process which appears in the Glivencko-Cantelli theorem. Combining a functional…