2 papers
math.PR2009
Bridges of quadratic harnesses
W. Bryc, J. Wesolowski
Quadratic harnesses are typically non-homogeneous Markov processes with time-dependent state space. Using an appropriately defined affine transformation we show that all bridges of…
math.PR2000
Variational representations of Varadhan Functionals
H. Bell, W. Bryc
Motivated by the theory of large deviations, we introduce a class of non-negative non-linear functionals that have a variational "rate function" representation.