Constraint Ornstein-Uhlenbeck bridges

DOI10.1063/1.5000077zbMATH Open1372.60116arXiv1704.07644OpenAlexW2608987061MaRDI QIDQ5366994FDOQ5366994

Authors: Alain Mazzolo 

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

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Mathematics Subject Classification ID

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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Cited In (13)

• Connection between deriving bridges and radial parts from multidimensional Ornstein-Uhlen\-beck processes
• Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes
• Noise and error analysis and optimization in particle-based kinetic plasma simulations
• Sweetest taboo processes
• Transport properties of diffusive particles conditioned to survive in trapping environments
• Generating stochastic trajectories with global dynamical constraints
• Representations of multidimensional linear process bridges
• Conditioning diffusion processes with killing rates
• Conditioning two diffusion processes with respect to their first-encounter properties
• Microcanonical conditioning of Markov processes on time-additive observables
• Strongly constrained stochastic processes: the multi-ends Brownian bridge
• Conditioning diffusion processes with respect to the local time at the origin
• Modeling the intraday electricity demand in Germany

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