Bridge representation and modal-path approximation
Probability
2016-07-12 v1
Abstract
The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional Brownian motion with drift. As a result, a small time approximation of the joint density is readily obtained by substituting the conditional expectation under the bridge measure by a single path: the modal-path from the initial point to the terminal point.
Keywords
Cite
@article{arxiv.1607.03074,
title = {Bridge representation and modal-path approximation},
author = {Jiro Akahori and Xiaoming Song and Tai-Ho Wang},
journal= {arXiv preprint arXiv:1607.03074},
year = {2016}
}