If W(t) is a standard Wiener process (i.e., for t ≥ 0, W(t) is normally distributed with expected value 0 and variance t, and the increments are stationary and independent), then

${\displaystyle B(t)=W(t)-{\frac {t}{T}}W(T)\,}$ 

is a Brownian bridge for t ∈ [0, T]. It is independent of W(T)^[1]

Conversely, if B(t) is a Brownian bridge and Z is a standard normal random variable independent of B, then the process

${\displaystyle W(t)=B(t)+tZ\,}$ 

is a Wiener process for t ∈ [0, 1]. More generally, a Wiener process W(t) for t ∈ [0, T] can be decomposed into

${\displaystyle W(t)={\sqrt {T}}B\left({\frac {t}{T}}\right)+{\frac {t}{\sqrt {T}}}Z.}$ 

Another representation of the Brownian bridge based on the Brownian motion is, for t ∈ [0, T]

${\displaystyle B(t)={\frac {T-t}{\sqrt {T}}}W\left({\frac {t}{T-t}}\right).}$ 

Conversely, for t ∈ [0, ∞]

${\displaystyle W(t)={\frac {T+t}{T}}B\left({\frac {Tt}{T+t}}\right).}$ 

The Brownian bridge may also be represented as a Fourier series with stochastic coefficients, as

${\displaystyle B_{t}=\sum _{k=1}^{\infty }Z_{k}{\frac {{\sqrt {2T}}\sin(k\pi t/T)}{k\pi }}}$ 

where ${\displaystyle Z_{1},Z_{2},\ldots }$  are independent identically distributed standard normal random variables (see the Karhunen–Loève theorem).

A Brownian bridge is the result of Donsker's theorem in the area of empirical processes. It is also used in the Kolmogorov–Smirnov test in the area of statistical inference.

A standard Wiener process satisfies W(0) = 0 and is therefore "tied down" to the origin, but other points are not restricted. In a Brownian bridge process on the other hand, not only is B(0) = 0 but we also require that B(T) = 0, that is the process is "tied down" at t = T as well. Just as a literal bridge is supported by pylons at both ends, a Brownian Bridge is required to satisfy conditions at both ends of the interval [0,T]. (In a slight generalization, one sometimes requires B(t₁) = a and B(t₂) = b where t₁, t₂, a and b are known constants.)

Suppose we have generated a number of points W(0), W(1), W(2), W(3), etc. of a Wiener process path by computer simulation. It is now desired to fill in additional points in the interval [0,T], that is to interpolate between the already generated points W(0) and W(T). The solution is to use a Brownian bridge that is required to go through the values W(0) and W(T).

For the general case when B(t₁) = a and B(t₂) = b, the distribution of B at time t ∈ (t₁, t₂) is normal, with mean

${\displaystyle a+{\frac {t-t_{1}}{t_{2}-t_{1}}}(b-a)}$ 

and variance

${\displaystyle {\frac {(t_{2}-t)(t-t_{1})}{t_{2}-t_{1}}},}$ 

and the covariance between B(s) and B(t), with s < t is

${\displaystyle {\frac {(t_{2}-t)(s-t_{1})}{t_{2}-t_{1}}}.}$ 

• Glasserman, Paul (2004). Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag. ISBN 0-387-00451-3.
• Revuz, Daniel; Yor, Marc (1999). Continuous Martingales and Brownian Motion (2nd ed.). New York: Springer-Verlag. ISBN 3-540-57622-3.