کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527366 958839 2014 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Generalized Gaussian bridges
ترجمه فارسی عنوان
پلهای گاوسی عمومی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
چکیده انگلیسی
A generalized bridge is a stochastic process that is conditioned on N linear functionals of its path. We consider two types of representations: orthogonal and canonical. The orthogonal representation is constructed from the entire path of the process. Thus, the future knowledge of the path is needed. In the canonical representation the filtrations of the bridge and the underlying process coincide. The canonical representation is provided for prediction-invertible Gaussian processes. All martingales are trivially prediction-invertible. A typical non-semimartingale example of a prediction-invertible Gaussian process is the fractional Brownian motion. We apply the canonical bridges to insider trading.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 124, Issue 9, September 2014, Pages 3084-3105
نویسندگان
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