Generalised Brownian bridges: examples

MaRDI QIDQ5376129zbMATH OpenFDO

Authors Xue-Mei Li

Publication date 17 September 2018

Full work available at URL https://arxiv.org/abs/1612.08716

zbMATH Keywords

equivalenceGaussian measuresBrownian bridgesCameron-Martin spacestime-dependent singular drifts

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65) Diffusion processes and stochastic analysis on manifolds (58J65) Continuity and singularity of induced measures (60G30)

Abstract: We observe that the probability distribution of the Brownian motion with drift $-cfracx1-t$ where $cot=1$ is singular with respect to that of the classical Brownian bridge measure on $[0,1]$, while their Cameron-Martin spaces are equal set-wise if and only if $c>frac12$, providing also examples of exponential martingales on $[0,1)$ not extendable to a continuous martingale on $[0,1]$. Other examples of generalised Brownian bridges are also studied.

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(12)

• An example of a generalized Brownian motion
• Time-convergent random matrices from mean-field pinned interacting eigenvalues
• Singularity of generalized grey Brownian motions with different parameters
• Fake exponential Brownian motion
• Some results on the generalized Brownian bridge
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• Pinned diffusions and Markov bridges
• Log-Hessian and deviation bounds for Markov semi-groups, and regularization effect in \(\mathbb{L}^1 \)
• Logarithmic heat kernel estimates without curvature restrictions
• Canonical decompositions of certain generalized Brownian bridges
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• First order Feynman-Kac formula

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