A parallel between Brownian bridges and gamma bridges
From MaRDI portal
Publication:1769586
DOI10.2977/prims/1145475488zbMath1074.60054OpenAlexW4297423375MaRDI QIDQ1769586
Publication date: 4 April 2005
Published in: Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2977/prims/1145475488
Related Items
Sample paths of a Lévy process leading to first passage over high levels in finite time ⋮ On a Lévy process pinned at random time ⋮ Equilibrium effects of intraday order-splitting benchmarks ⋮ Brownian bridge with random length and pinning point for modelling of financial information ⋮ Dam rain and cumulative gain ⋮ Bridges with random length: gamma case ⋮ Multiplicative Schrödinger problem and the Dirichlet transport ⋮ Incorporating the stochastic process setup in parameter estimation ⋮ Dirichlet mean identities and laws of a class of subordinators ⋮ MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS ⋮ Harnesses, Lévy bridges and Monsieur Jourdain ⋮ Lévy random bridges and the modelling of financial information ⋮ Entropic measure and Wasserstein diffusion ⋮ Some explicit Krein representations of certain subordinators, including the gamma process ⋮ OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Calcul stochastique et problèmes de martingales
- Applications de la théorie spectral des cordes vibrantes aux fonctionnelles additives principales d'un brownien réfléchi. (Applications of the spectral theory of vibrating strings to principal additive functionals of a reflected Brownian motion)
- Time reversal on Lévy processes
- A Bayesian analysis of some nonparametric problems
- Arcsine Laws and Interval Partitions Derived from a Stable Subordinator
- Quasi-invariance of the gamma process and multiplicative properties of the Poisson-Dirichlet measures
- Exercises in Probability
- A Characterization of the Gamma Distribution
- An infinite-dimensional analogue of the Lebesgue measure and distinguished properties of the gamma process