6 citations · 16 across the 5 of their papers we have counts for
5 papers
Gaussian processes, bridges and membranes extracted from selfsimilar random fields
Maik Görgens, Ingemar Kaj
We consider the class of selfsimilar Gaussian generalized random fields introduced by Dobrushin in 1979. These fields are indexed by Schwartz functions on and parame…
Optimal stopping of an -Brownian bridge
Maik Görgens
We study the problem of stopping an -Brownian bridge as close as possible to its global maximum. This extends earlier results found for the Brownian bridge (the case ). The…
Bias-correction of the maximum likelihood estimator for the -Brownian bridge
Maik Görgens, Måns Thulin
The -Brownian bridge, or scaled Brownian bridge, is a generalization of the Brownian bridge with a scaling parameter that determines how strong the force that pulls the process…
Inference in -Brownian bridge based on Karhunen-Loève expansions
Maik Görgens
We study a simple decision problem on the scaling parameter in the -Brownian bridge on the interval : given two values with …
Conditioning of Gaussian processes and a zero area Brownian bridge
Maik Gorgens
We generalize the notion of Gaussian bridges by conditioning Gaussian processes given that certain linear functionals of the sample paths vanish. We show the equivalence of the law…