Explicit construction of a dynamic Bessel bridge of dimension 3
From MaRDI portal
Publication:388880
DOI10.1214/EJP.v18-1907zbMath1290.60075arXiv1302.7128MaRDI QIDQ388880
Albina Danilova, Umut Çetin, Luciano Campi
Publication date: 17 January 2014
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.7128
93E11: Filtering in stochastic control theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G44: Martingales with continuous parameter
60J60: Diffusion processes
60G05: Foundations of stochastic processes
Related Items
Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs, KYLE–BACK’S MODEL WITH A RANDOM HORIZON