Absolute continuity of diffusion bridges

DOI10.1007/s13571-018-0184-zzbMath1459.60171OpenAlexW2912465864MaRDI QIDQ2023791

Paul McGill

Publication date: 3 May 2021

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-018-0184-z

zbMATH Keywords

Girsanov formulaapproximate bridgecircular measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Reciprocal processes
• On Drifting Brownian Motion Made Periodic
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT