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Canonical decompositions of certain generalized Brownian bridges

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Alili, Larbi (2002) Canonical decompositions of certain generalized Brownian bridges. Electronic Communications in Probability, Volume 7 . pp. 27-35. Article number 3. doi:10.1214/ECP.v7-1044

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Official URL: http://dx.doi.org/10.1214/ECP.v7-1044

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Abstract

We define a generalized Brownian bridge and we provide some information about its filtration. Two decompositions of this process as a semi-martingale are given. The first one is a Volterra decomposition and the second one is its canonical decomposition in its own filtration.

Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH): Brownian motion processes, Brownian bridges (Mathematics), Canonical correlation (Statistics), Volterra equations
Journal or Publication Title: Electronic Communications in Probability
Publisher: Institute of Mathematical Statistics
ISSN: 1083-589X
Official Date: 17 December 2002
Dates:
DateEvent
17 December 2002Published
Volume: Volume 7
Number of Pages: 8
Page Range: pp. 27-35
Article Number: Article number 3
DOI: 10.1214/ECP.v7-1044
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Open Access
Funder: Fonds zur Förderung der Wissenschaftlichen Forschung (Austria) (FWF)

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