Pinned diffusions and Markov bridges

DOI10.1007/s10959-019-00954-5zbMath1456.60085arXiv1711.08617OpenAlexW2981891674MaRDI QIDQ2181618

Florian Hildebrandt, Sylvie Roelly

Publication date: 19 May 2020

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.08617

zbMATH Keywords

\(\alpha\)-Brownian bridgeGaussian Markov processreciprocal characteristics\(\alpha\)-Wiener bridgepinned diffusion

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (2)

Time-convergent random matrices from mean-field pinned interacting eigenvalues ⋮ A family of interacting particle systems pinned to their ensemble average

Cites Work

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• α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
• Asymptotic Statistics
• Generalised Brownian bridges: examples

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