Construction and sample path properties of diffusion house-moving between two curves
Probability
2025-03-24 v1
Abstract
The purpose of this paper is to introduce the construction of a stochastic process called ``diffusion house-moving'' and to explore its properties. We study the weak convergence of diffusion bridges conditioned to stay between two curves, and we refer to this limit as diffusion house-moving. Applying this weak convergence result, we give the sample path properties of diffusion house-moving.
Cite
@article{arxiv.2503.16912,
title = {Construction and sample path properties of diffusion house-moving between two curves},
author = {Kensuke Ishitani and Soma Nishino},
journal= {arXiv preprint arXiv:2503.16912},
year = {2025}
}
Comments
37 pages