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Representations of multidimensional linear process bridges
multidimensional linear process bridges math
2010/11/8
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 s...
Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
Sample path deviations Wiener Ornstein-Uhlenbeck process
2010/11/9
We study sample path deviations of the Wiener process from three different representations of its bridge: anticipative version, integral representation and space-time transform. Although these repres...
