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math.PR2010
Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
Matyas Barczy, Peter Kern
We study sample path deviations of the Wiener process from three different representations of its bridge: anticipative version, integral representation and space-time transform. Al…
math.PR2010
Representations of multidimensional linear process bridges
Matyas Barczy, Peter Kern
We derive bridges from general multidimensional linear non time-homogeneous processes using only the transition densities of the original process giving their integral representati…