Online minimum search for a Brownian bridge
Probability
2024-07-30 v1
Abstract
In this short note we consider the computational problem of numerically finding the minimum and arg-min of a Brownian bridge. Using well-known results by Pitman, Tanaka, Vervaat and Williams we are able to show that the bisection method has both a small error and a small probability of failure.
Cite
@article{arxiv.2407.19490,
title = {Online minimum search for a Brownian bridge},
author = {Erik Wu and Shannon Starr},
journal= {arXiv preprint arXiv:2407.19490},
year = {2024}
}
Comments
13 pages double-spaced