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- W2963172034 abstract "We introduce operator scaled Wiener bridges by incorporating a matrix scaling in the drift part of the SDE of a multidimensional Wiener bridge. A sufficient condition for the bridge property of the SDE solution is derived in terms of the eigenvalues of the scaling matrix. We analyze the asymptotic behavior of the bridges and briefly discuss the question whether the scaling matrix determines uniquely the law of the corresponding bridge." @default.
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- W2963172034 date "2015-01-01" @default.
- W2963172034 modified "2023-09-26" @default.
- W2963172034 title "Operator scaled Wiener bridges" @default.
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- W2963172034 doi "https://doi.org/10.1051/ps/2014016" @default.
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