Representations of multidimensional linear process bridges

DOI10.1515/rose-2013-0009zbMath1391.60179arXiv1011.0067OpenAlexW2964351816MaRDI QIDQ2841512

Mátyás Barczy, Peter Becker-Kern

Publication date: 26 July 2013

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.0067

zbMATH Keywords

integral representationh-transformOrnstein-Uhlenbeck bridgeanticipative representationlinear process bridgeMarkov transition densities

Mathematics Subject Classification ID

Gaussian processes (60G15) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Related Items (7)

Large deviations for Bernstein bridges ⋮ Systematic physics constrained parameter estimation of stochastic differential equations ⋮ Pinned diffusions and Markov bridges ⋮ Multiresolution Hilbert approach to multidimensional Gauss-Markov processes ⋮ Constraint Ornstein-Uhlenbeck bridges ⋮ Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges ⋮ Karhunen-Loève expansion for a generalization of Wiener bridge

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