Stochastic Processes – Brownian Bridge Expression for Brownian Motion

brownian motionstochastic-integralsstochastic-processes

Let $B_t$ be a standard Brownian motion in $\mathbb R$, then the Brownian bridge on $[0,1]$ is defined as
$$
Y_t = a(1-t)+bt+(1-t)\int\limits_0^t\frac{\mathrm dB_s}{1-s}
$$
for $0\leq t<1$. Here $Y_0 = a$ and $\lim\limits_{t\to 1} Y_t = b$ a.s. The latter implies
$$
\lim\limits_{t\to 1}\;(1-t)\int\limits_0^t\frac{\mathrm dB_s}{1-s} = 0\text{ a.s.}
$$
and using integration by parts:
$$
\lim\limits_{t\to 1}\;(1-t)\int\limits_0^t\frac{B_s}{(1-s)^2}\mathrm ds = B_1 \text{ a.s.}
$$

I wonder if the latter formula has been shown to have a particular interesting meaning. Maybe there a known relationship with a Cauchy's integral formula.

Best Answer

If $f$ is any continuous function, then L'Hopital's rule gives \[ \lim_{t\to1}\; (1-t)\int_0^t\frac{f(s)}{(1-s)^2}\,ds = f(1). \] In terms of generalized functions, this says that if \[ \mu_t(s) = \frac{1-t}{(1-s)^2}1_{[0,t]}(s), \] then $\mu_t\to\delta_1$. The Brownian bridge can also be written in terms of generalized functions: \[ Y_t= a(1 - t) + bt + \langle\partial B,\nu_t\rangle, \] where \[ \nu_t(s) = \frac{1-t}{1-s}1_{[0,t]}(s), \] and $\partial B$ is the (random) distributional derivative of the Brownian sample path. Note that $\langle\partial B,\nu_t\rangle = -\langle\partial\nu_t,B\rangle$, and \[ \partial\nu_t = (1-t)\delta_0 + \mu_t - \delta_t. \] Hence, \begin{align*} \lim_{t\to1}\;\langle\partial B,\nu_t\rangle &= \lim_{t\to1}\;-\langle(1-t)\delta_0 + \mu_t - \delta_t,B\rangle\\ &= \lim_{t\to1}\;\langle\delta_t - \mu_t,B\rangle\\ &= \langle\delta_1-\delta_1,B\rangle = 0. \end{align*}

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