Representations of multidimensional linear process bridges

DOI10.1515/ROSE-2013-0009MaRDI QIDQ2841512zbMATH OpenOpenAlexFDO

Authors Mátyás Barczy, Peter Kern

Publication date 26 July 2013

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.0067

zbMATH Keywords

anticipative representationh-transformintegral representationlinear process bridgeMarkov transition densitiesOrnstein-Uhlenbeck bridge

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)

Abstract: We derive bridges from general multidimensional linear non time-homogeneous processes using only the transition densities of the original process giving their integral representations (in terms of a standard Wiener process) and so-called anticipative representations. We derive a stochastic differential equation satisfied by the integral representation and we prove a usual conditioning property for general multidimensional linear process bridges. We specialize our results for the one-dimensional case; especially, we study one-dimensional Ornstein-Uhlenbeck bridges.

Review text

This paper develops a general framework for the construction of multidimensional stochastic bridges based on the solutions of time-dependent Ornstein-Uhlenbeck type linear stochastic differential equations. In particular, adapted and anticipative stochastic integral representations are derived for these bridges. The results are then specialized to the one-dimensional case, recovering known properties of linear Ornstein-Uhlenbeck and Brownian bridges.

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• Constraint Ornstein-Uhlenbeck bridges
• Gaussian bridges
• Optimal stopping of Gauss-Markov bridges

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