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Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process
- 1.0410763 - 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
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