Connection between deriving bridges and radial parts from multidimensional Ornstein-Uhlen\-beck processes (Q2568542): Difference between revisions

In the first part the authors give a construction of bridges derived from a general Markov process using only its transition densities. In the second part they consider the problem whether the operations deriving bridges and radial part commute starting from the same Markov process. They show that the answer is yes in the case of a multidimensional standard Wiener process and in the case of a special multidimensional Ornstein-Uhlenbeck process, that is, the law of the radial part of the bridge with endpoints zero derived from one of those processes equals the law of the bridge with endpoints zero derived from the radial part of the same process.