A class of bridges of iterated integrals of Brownian motion related to various boundary value problems involving the one-dimensional polyharmonic operator (Q655227): Difference between revisions

Summary: Let \((B(t))_{t \in [0,1]}\) be the linear Brownian motion and \((X_n(t))_{t \in [0,1]}\) the \((n - 1)\)-fold integral of this Brownian motion, with \(n\) being a positive integer: \(X_n(t) = \int^t_0 ((t - s)^{n-1} / (n - 1)!)\text{d}B(s)\) for any \(t \in [0 ,1]\). In this paper, we construct several bridges between the times 0 and 1 of the process \((X_n(t))_{t \in [0,1]}\) involving conditions on the successive derivatives of \(X_n\) at times 0 and 1. For this family of bridges, we give a correspondence with certain boundary value problems related to the one-dimensional polyharmonic operator. We also study the classical problem of prediction. Our results involve various Hermite interpolation polynomials.