کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155436 | 958727 | 2016 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Markov bridges: SDE representation
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Markov bridges: SDE representation Markov bridges: SDE representation](/preview/png/1155436.png)
چکیده انگلیسی
Let X be a Markov process taking values in E with continuous paths and transition function (Ps,t). Given a measure μ on (E,E), a Markov bridge starting at (s,εx) and ending at (Tâ,μ) for Tâ<â has the law of the original process starting at x at time s and conditioned to have law μ at time Tâ. We will consider two types of conditioning: (a) weak conditioning when μ is absolutely continuous with respect to Ps,t(x,â
) and (b) strong conditioning when μ=εz for some zâE. The main result of this paper is the representation of a Markov bridge as a solution to a stochastic differential equation (SDE) driven by a Brownian motion in a diffusion setting. Under mild conditions on the transition density of the underlying diffusion process we establish the existence and uniqueness of weak and strong solutions of this SDE.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 126, Issue 3, March 2016, Pages 651-679
Journal: Stochastic Processes and their Applications - Volume 126, Issue 3, March 2016, Pages 651-679
نویسندگان
Umut Ãetin, Albina Danilova,