Representations of multidimensional linear process bridges
Probability
2014-03-25 v1
Abstract
We derive bridges from general multidimensional linear non time-homogeneous processes using only the transition densities of the original process giving their integral representations (in terms of a standard Wiener process) and so-called anticipative representations. We derive a stochastic differential equation satisfied by the integral representation and we prove a usual conditioning property for general multidimensional linear process bridges. We specialize our results for the one-dimensional case; especially, we study one-dimensional Ornstein-Uhlenbeck bridges.
Cite
@article{arxiv.1011.0067,
title = {Representations of multidimensional linear process bridges},
author = {Matyas Barczy and Peter Kern},
journal= {arXiv preprint arXiv:1011.0067},
year = {2014}
}
Comments
37 pages