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- W4299541651 abstract "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 for general multidimensional linear process bridges. We specialize our results for the one-dimensional case; especially, we study one-dimensional Ornstein-Uhlenbeck bridges." @default.
- W4299541651 created "2022-10-02" @default.
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- W4299541651 date "2010-10-30" @default.
- W4299541651 modified "2023-09-25" @default.
- W4299541651 title "Representations of multidimensional linear process bridges" @default.
- W4299541651 doi "https://doi.org/10.48550/arxiv.1011.0067" @default.
- W4299541651 hasPublicationYear "2010" @default.
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