Further results on some singular linear stochastic differential equations

DOI10.1016/j.spa.2008.07.004zbMath1162.26307arXivmath/0702785OpenAlexW2041817839MaRDI QIDQ1016620

Larbi Alili, Ching-Tang Wu

Publication date: 6 May 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0702785

zbMATH Keywords

Brownian motionstochastic differential equationscanonical decompositionenlargement of filtrationsGramian matricesGoursat kernelsself-reproducing kernelsVolterra transform

Mathematics Subject Classification ID

Brownian motion (60J65) Real polynomials: analytic properties, etc. (26C05)

Related Items

Conditioned stochastic differential equations: theory, examples and application to finance., Generalized Gaussian bridges

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fonctions aléatoires à correlation linéaire
• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Semi-martingales et grossissement d'une filtration
• Invariance of Wiener processes and of Brownian bridges by integral transforms and applications
• Hilbertian kernels and spline functions
• Construction of noncanonical representations of a Brownian motion
• On weak Brownian motions of arbitrary order
• Conditioned stochastic differential equations: theory, examples and application to finance.
• Canonical decompositions of certain generalized Brownian bridges
• Representation of Gaussian processes equivalent to Wiener process
• Sur une classe de courbes de l'espace de Hilbert et sur une équation intégrale non linéaire
• On the Inversion of Certain Matrices
• Canonical representations of Gaussian processes and their applications
• Anticipative portfolio optimization
• Theory of Reproducing Kernels