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Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process

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    0410763 - UTIA-B 20010232 RIV CZ eng J - Journal Article
    Lachout, Petr
    Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process.
    Kybernetika. Roč. 37, č. 6 (2001), s. 647-667. ISSN 0023-5954
    R&D Projects: GA ČR GA201/99/0264
    Institutional research plan: AV0Z1075907
    Keywords : Wiener process * Brownian bridge * linear transformation
    Subject RIV: BA - General Mathematics
    Impact factor: 0.316, year: 2001

    The paper presents a discussion on linear transformations of a Wiener process. The considered processes are collections of stochastic integrals of non-random functions w.r.t. Wiener process. We are interested in conditions under which the transformed process is a Wiener process, a Brownian bridge or an Ornstein-Uhlenbeck process.
    Permanent Link: http://hdl.handle.net/11104/0130851

     
     

Number of the records: 1  

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