Brownian motion conditioned to have restricted $L_2$-norm
Frank Aurzada, Mikhail Lifshits, Dominic T. Schickentanz·2023-12-20·via math.PR updates on arXiv.org
We condition a Brownian motion on having an atypically small $L_2$-norm on a long time interval. The obtained limiting process is a non-stationary Ornstein-Uhlenbeck process.