Markov bridges: SDE representation

DOI10.1016/j.spa.2015.09.015zbMath1337.60178arXiv1402.0822OpenAlexW2164186317MaRDI QIDQ5962603

Umut Çetin, Albina Danilova

Publication date: 15 February 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.0822

zbMATH Keywords

diffusionweak convergenceBrownian motionstochastic differential equationsmartingale problem\(h\)-transformMarkov bridges

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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