Operator scaled Wiener bridges
Probability
2016-07-25 v2
Abstract
We introduce operator scaled Wiener bridges by incorporating a matrix scaling in the drift part of the SDE of a multidimensional Wiener bridge. A sufficient condition for the bridge property of the SDE solution is derived in terms of the eigenvalues of the scaling matrix. We analyze the asymptotic behavior of the bridges and briefly discuss the question whether the scaling matrix determines uniquely the law of the corresponding bridge.
Cite
@article{arxiv.1308.6134,
title = {Operator scaled Wiener bridges},
author = {Matyas Barczy and Peter Kern and Vincent Krause},
journal= {arXiv preprint arXiv:1308.6134},
year = {2016}
}
Comments
21 pages