Constraint Ornstein-Uhlenbeck bridges
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Publication:5366994
Abstract: In this paper, we study the Ornstein-Uhlenbeck bridge process (i.e. the Ornstein-Uhlenbeck process conditioned to start and end at fixed points) constraints to have a fixed area under its path. We present both anticipative (in this case, we need the knowledge of the future of the path) and non-anticipative versions of the stochastic process. We obtain the anticipative description thanks to the theory of generalized Gaussian bridges while the non-anticipative representation comes from the theory of stochastic control. For this last representation, a stochastic differential equation is derived which leads to an effective Langevin equation. Finally, we extend our theoretical findings to linear bridge processes.
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Cited in
(15)- Effective Langevin equations for constrained stochastic processes
- Constrained Brownian processes and constrained Brownian bridges
- Connection between deriving bridges and radial parts from multidimensional Ornstein-Uhlen\-beck processes
- Noise and error analysis and optimization in particle-based kinetic plasma simulations
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