Representations of multidimensional linear process bridges (Q2841512)
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scientific article; zbMATH DE number 6191902
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Representations of multidimensional linear process bridges |
scientific article; zbMATH DE number 6191902 |
Statements
Representations of multidimensional linear process bridges (English)
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26 July 2013
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linear process bridge
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Markov transition densities
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h-transform
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integral representation
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anticipative representation
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Ornstein-Uhlenbeck bridge
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This paper develops a general framework for the construction of multidimensional stochastic bridges based on the solutions of time-dependent Ornstein-Uhlenbeck type linear stochastic differential equations. In particular, adapted and anticipative stochastic integral representations are derived for these bridges. The results are then specialized to the one-dimensional case, recovering known properties of linear Ornstein-Uhlenbeck and Brownian bridges.
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