Representations of multidimensional linear process bridges
نویسندگان
چکیده
منابع مشابه
Representations of multidimensional linear process bridges
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 ...
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ژورنال
عنوان ژورنال: Random Operators and Stochastic Equations
سال: 2013
ISSN: 0926-6364,1569-397X
DOI: 10.1515/rose-2013-0009