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Implement correlated Wiener bridge #85

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mschauer opened this issue Feb 8, 2021 · 1 comment
Open

Implement correlated Wiener bridge #85

mschauer opened this issue Feb 8, 2021 · 1 comment

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@mschauer
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mschauer commented Feb 8, 2021

One can use t ↦ B(t) = (T-t)/(T-S)⋅a + σ⋅(W(t-S)) + t/(T-S)⋅(b-σ⋅W(T-S)) for a bridge from a at time S to b at time T, as in the uncorrelated case where σ = I.
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