Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges

DOI10.1214/11-BJPS175zbMath1306.60035arXiv1011.0548OpenAlexW2963677817MaRDI QIDQ470374

Mátyás Barczy, Peter Becker-Kern

Publication date: 12 November 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.0548

zbMATH Keywords

Wiener processintegral representationOrnstein-Uhlenbeck processsample path deviationspace-time transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Sample path properties (60G17)

Related Items (5)

Log-Hessian and deviation bounds for Markov semi-groups, and regularization effect in \(\mathbb{L}^1 \) ⋮ The most probable transition paths of stochastic dynamical systems: a sufficient and necessary characterisation ⋮ Constraint Ornstein-Uhlenbeck bridges ⋮ Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges ⋮ Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities

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