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 ISSN 1083-589X.

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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:	Date Event 17 December 2002 Published
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 (Creative Commons)
Date of first compliant deposit:	28 July 2016
Date of first compliant Open Access:	28 July 2016
Funder:	Fonds zur Förderung der Wissenschaftlichen Forschung (Austria) (FWF)

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