Representations of multidimensional linear process bridges

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.

arXiv comment37 pages