Constraint Ornstein-Uhlenbeck bridges
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Publication:5366994
DOI10.1063/1.5000077zbMATH Open1372.60116arXiv1704.07644OpenAlexW2608987061MaRDI QIDQ5366994FDOQ5366994
Publication date: 10 October 2017
Published in: Journal of Mathematical Physics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1704.07644
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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