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- Title
Representations of multidimensional linear process bridges.
- Authors
Barczy, Mátyás; Kern, Peter
- Abstract
We derive bridges from general multidimensional linear non time-homogeneous processes by using only the transition densities of the original process giving their integral representations (in terms of a standard Wiener process) and their 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.
- Subjects
REPRESENTATIONS of algebras; HOMOGENEOUS spaces; STOCHASTIC differential equations; MATHEMATICAL proofs; ORNSTEIN-Uhlenbeck process; MARKOV processes
- Publication
Random Operators & Stochastic Equations, 2013, Vol 21, Issue 2, p159
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose-2013-0009