Generalised Brownian bridges: examples

zbMATH Open1417.60031arXiv1612.08716MaRDI QIDQ5376129FDOQ5376129

Authors: Xue-Mei Li 

Publication date: 17 September 2018

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.

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

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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)

Cited In (12)

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

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