Abstract: | Let X
t be a one-dimensional diffusion of the form dX
t=dB
t+(X
t)dt. Let Tbe a fixed positive number and let
be the diffusion process which is X
t conditioned so that X
0=X
T=x. If the drift is constant, i.e.,
, then the conditioned diffusion process
is a Brownian bridge. In this paper, we show the converse is false. There is a two parameter family of nonlinear drifts with this property. |