Operator scaled Wiener bridges

DOI10.1051/PS/2014016MaRDI QIDQ2786471zbMATH OpenOpenAlexFDO

Authors Mátyás Barczy, Vincent Krause, Peter Kern

Publication date 12 February 2016

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.6134

zbMATH Keywords

asymptotic behaviormultidimensional Wiener bridgesoperator scalingstochastic differential equationstrong law of large numbers

Mathematics Subject Classification ID

Strong limit theorems (60F15) Gaussian processes (60G15) Sample path properties (60G17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Abstract: We introduce operator scaled Wiener bridges by incorporating a matrix scaling in the drift part of the SDE of a multidimensional Wiener bridge. A sufficient condition for the bridge property of the SDE solution is derived in terms of the eigenvalues of the scaling matrix. We analyze the asymptotic behavior of the bridges and briefly discuss the question whether the scaling matrix determines uniquely the law of the corresponding bridge.

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• Introduction to stochastic integration.
• Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
• On a one-parameter generalization of the Brownian bridge and associated quadratic functionals
• α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties

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