Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
From MaRDI portal
(Redirected from Publication:470374)
Abstract: We study sample path deviations of the Wiener process from three different representations of its bridge: anticipative version, integral representation and space-time transform. Although these representations of the Wiener bridge are equal in law, their sample path behavior is quite different. Our results nicely demonstrate this fact. We calculate and compare the expected absolute, quadratic and conditional quadratic path deviations of the different representations of the Wiener bridge from the original Wiener process. It is further shown that the presented qualitative behavior of sample path deviations is not restricted only to the Wiener process and its bridges. Sample path deviations of the Ornstein-Uhlenbeck process from its bridge versions are also considered and we give some quantitative answers also in this case.
Recommendations
- Sample Path Properties of lp -Valued Ornstein-Uhlenbeck Processes
- scientific article; zbMATH DE number 1536161
- α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
- scientific article; zbMATH DE number 4194850
- Sample path properties of ergodic self-similar processes
- Sample path properties of stochastic processes represented as multiple stable integrals
- A remark upon sample properties of \(N\)-parameter \(d\)-dimensional Ornstein-Uhlenbeck process
- Analysis of SPDEs arising in path sampling. I: The Gaussian case
- scientific article; zbMATH DE number 3921626
Cites work
- A diffusion model with loss of particles
- Bridges of quadratic harnesses
- Connection between deriving bridges and radial parts from multidimensional Ornstein-Uhlen\-beck processes
- Gaussian bridges
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1232374 (Why is no real title available?)
- scientific article; zbMATH DE number 503432 (Why is no real title available?)
- Le problème de Buffon–Synge pour une corde
- Markovian bridges: weak continuity and pathwise constructions
- Representations of multidimensional linear process bridges
- Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
- Simulation of conditioned diffusion and application to parameter estimation
- Stochastic differential equations. An introduction with applications.
- Test to distinguish a Brownian motion from a Brownian bridge using Pólya tree process
- The distribution of the maximal difference between a Brownian bridge and its concave majorant
Cited in
(14)- Connection between deriving bridges and radial parts from multidimensional Ornstein-Uhlen\-beck processes
- Log-Hessian and deviation bounds for Markov semi-groups, and regularization effect in \(\mathbb{L}^1 \)
- General alpha-Wiener bridges
- Representations of multidimensional linear process bridges
- α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
- Enhancing least squares Monte Carlo with diffusion bridges: an application to energy facilities
- Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
- Constraint Ornstein-Uhlenbeck bridges
- The most probable transition paths of stochastic dynamical systems: a sufficient and necessary characterisation
- Weierstrass bridges
- Optimal stopping of Gauss-Markov bridges
- Boundary crossing problems and functional transformations for Ornstein-Uhlenbeck processes
- The Brenier-Schrödinger problem: non-local Hamilton-Jacobi-Bellman equations and existence of the pressure field
- Exact asymptotics for the exit time probabilities of scalar Ornstein-Uhlenbeck bridges
This page was built for publication: Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470374)
