α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
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Publication:3578751
DOI10.1080/07362991003704985zbMath1195.60060arXiv0810.3070OpenAlexW2038040191MaRDI QIDQ3578751
Publication date: 20 July 2010
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.3070
Diffusion processes (60J60) Sample path properties (60G17) Continuity and singularity of induced measures (60G30)
Related Items (10)
Asymptotic behaviours for maximum likelihood estimator of drift parameter in α-Wiener bridge process ⋮ Pinned diffusions and Markov bridges ⋮ Bias-correction of the maximum likelihood estimator for the \(\alpha\)-Brownian bridge ⋮ Time-convergent random matrices from mean-field pinned interacting eigenvalues ⋮ Karhunen-Loève expansions of \(\alpha\)-Wiener bridges ⋮ Least squares estimation for \(\alpha\)-fractional bridge with discrete observations ⋮ Operator scaled Wiener bridges ⋮ Least squares estimator for \(\alpha\)-sub-fractional bridges ⋮ A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor ⋮ A family of interacting particle systems pinned to their ensemble average
Cites Work
- Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
- On a one-parameter generalization of the Brownian bridge and associated quadratic functionals
- Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals
- Random integral representation of operator-semi-self-similar processes with independent incre\-ments.
- Singularity of Fractional Brownian Motions with Different Hurst Indices
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