Markov bridges: SDE representation

DOI10.1016/j.spa.2015.09.015zbMath1337.60178arXiv1402.0822OpenAlexW2164186317MaRDI QIDQ5962603

Umut Çetin, Albina Danilova

Publication date: 15 February 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.0822

zbMATH Keywords

diffusionweak convergenceBrownian motionstochastic differential equationsmartingale problem\(h\)-transformMarkov bridges

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (5)

Stochastic modelling with randomized Markov bridges ⋮ Data-driven method to learn the most probable transition pathway and stochastic differential equation ⋮ Financial equilibrium with asymmetric information and random horizon ⋮ The most probable transition paths of stochastic dynamical systems: a sufficient and necessary characterisation ⋮ From second-order differential geometry to stochastic geometric mechanics

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