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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
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: |
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| 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 FoĢrderung der Wissenschaftlichen Forschung (Austria) (FWF) |
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