KMT coupling for random walk bridges

In this paper we prove an analogue of the Komlós–Major–Tusnády (KMT) embedding theorem for random walk bridges. The random bridges we consider are constructed through random walks with i.i.d jumps that are conditioned on the locations of their endpoints. We prove that such bridges can be strongly coupled to Brownian bridges of appropriate variance when the jumps are either continuous or integer valued under some mild technical assumptions on the jump distributions. Our arguments follow a similar dyadic scheme to KMT’s original proof, but they require more refined estimates and stronger assumptions necessitated by the endpoint conditioning. In particular, our result does not follow from the KMT embedding theorem, which we illustrate via a counterexample.