General alpha-Wiener bridges

MaRDI QIDQ2787493zbMATH OpenFDO

Authors Mátyás Barczy, Peter Kern

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.4288

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65)

Abstract: An alpha-Wiener bridge is a one-parameter generalization of the usual Wiener bridge, where the parameter alpha>0 represents a mean reversion force to zero. We generalize the notion of alpha-Wiener bridges to continuous functions $alpha:[0,T)oR$. We show that if the limit $li{m}_{tuparrowT}alpha(t)$ exists and is positive, then a general alpha-Wiener bridge is in fact a bridge in the sense that it converges to 0 at time T with probability one. Further, under the condition $li{m}_{tuparrowT}alpha(t)e1$ we show that the law of the general alpha-Wiener bridge can not coincide with the law of any non time-homogeneous Ornstein-Uhlenbeck type bridge. In case $li{m}_{tuparrowT}alpha(t)=1$ we determine all the Ornstein-Uhlenbeck type processes from which one can derive the general alpha-Wiener bridge by conditioning the original Ornstein-Uhlenbeck type process to be in zero at time T.

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(8)

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• Operator scaled Wiener bridges
• A link between Bougerol's identity and a formula due to Donati-Martin, Matsumoto and Yor
• A family of interacting particle systems pinned to their ensemble average
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• Optimal stopping of Gauss-Markov bridges
• Mean-field interacting systems with sequential coalescence at future ensemble averages
• Generalized Gaussian bridges

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