A class of bridges of iterated integrals of Brownian motion related to various boundary value problems involving the one-dimensional polyharmonic operator

DOI10.1155/2011/762486zbMATH Open1231.60086arXiv1108.2132OpenAlexW3098942700WikidataQ58688931 ScholiaQ58688931MaRDI QIDQ655227FDOQ655227

Authors: A. Lachal 

Publication date: 3 January 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Abstract: Let $(B(t){)}_{tin[0,1]}$ be the linear Brownian motion and $(X_n(t){)}_{tin[0,1]}$ be the $(n-1)$-fold integral of Brownian motion, $n$ being a positive integer: ${\displaystyle }$ X_n(t)=int_0^t frac{(t-s)^{n-1}}{(n-1)!} ,dd B(s) for any $tin[0,1]$. ${\displaystyle }$ In this paper we construct several bridges between times 0 and 1 of the process $(X_n(t){)}_{tin[0,1]}$ involving conditions on the successive derivatives of $X_n$ at times 0 and 1. For this family of bridges, we make a correspondance with certain boundary value problems related to the one-dimensional polyharmonic operator. We also study the classical problem of prediction. Our results involve various Hermite interpolation polynomials.

Full work available at URL: https://arxiv.org/abs/1108.2132

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zbMATH Keywords

boundary value problembridges of iterated integrals of a Brownian motionone-dimensional polyharmonic operator

Mathematics Subject Classification ID

Brownian motion (60J65)

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