α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties

DOI10.1080/07362991003704985MaRDI QIDQ3578751zbMATHOpenAlexFDO

Authors Mátyás Barczy, Gyula Pap

Publication date 20 July 2010

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.3070

zbMATH Keywords

singularitysample path propertiesinduced measures\(\alpha\)-Wiener bridges

Mathematics Subject Classification ID

Diffusion processes (60J60) Sample path properties (60G17) Continuity and singularity of induced measures (60G30)

Abstract: Let us consider the process $(X_t^{(alpha)}{)}_{tin[0,T)}$ given by the SDE $d{X}_t^{(alpha)}=-fracalphaT-t{X}_t^{(alpha)}dt+d{B}_t$, $tin[0,T)$, where $alphainR$, $Tin(0,infty)$, and $(B_t{)}_{tgeq0}$ is a standard Wiener process. In case of $alpha>0$ the process $X^{(alpha)}$ is known as an $alpha$-Wiener bridge, in case of $alpha=1$ as the usual Wiener bridge. We prove that for all $$, $$, the probability measures induced by the processes $X^{(alpha)}$ and $$ are singular on C[0,T). Further, we investigate regularity properties of $X_t^{(alpha)}$ as $tuparrowT$.

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Cited in

(12)

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• Asymptotic behaviours for maximum likelihood estimator of drift parameter in \(\alpha\)-Wiener bridge process
• Operator scaled Wiener bridges
• Karhunen-Loève expansions of \(\alpha\)-Wiener bridges
• Least squares estimation for \(\alpha\)-fractional bridge with discrete observations
• Bias-correction of the maximum likelihood estimator for the \(\alpha\)-Brownian bridge
• Time-convergent random matrices from mean-field pinned interacting eigenvalues
• A family of interacting particle systems pinned to their ensemble average
• Pinned diffusions and Markov bridges
• A link between Bougerol's identity and a formula due to Donati-Martin, Matsumoto and Yor
• Least squares estimator for \(\alpha\)-sub-fractional bridges
• General alpha-Wiener bridges

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