Canonical Decompositions of Certain Generalized Brownian Bridges

Larbi Alili

doi:10.1214/ECP.v7-1044

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Home > Journals > Electron. Commun. Probab. > Volume 7 > Article

2002 Canonical Decompositions of Certain Generalized Brownian Bridges

Larbi Alili

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Larbi Alili¹
¹ETH Zurich

Electron. Commun. Probab. 7: 27-35 (2002). DOI: 10.1214/ECP.v7-1044

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Abstract

We define a generalized Brownian bridge and we provide some information about its filtration. Two decompositions of this process as a semi-martingale are given. The first one is a Volterra decomposition and the second one is its canonical decomposition in its own filtration.

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Larbi Alili. "Canonical Decompositions of Certain Generalized Brownian Bridges." Electron. Commun. Probab. 7 27 - 35, 2002. https://doi.org/10.1214/ECP.v7-1044

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Accepted: 17 December 2001; Published: 2002

First available in Project Euclid: 16 May 2016

zbMATH: 1013.60059

MathSciNet: MR1887171

Digital Object Identifier: 10.1214/ECP.v7-1044

Subjects:

Primary: 26C05

Secondary: 60J65

Keywords: Brownian bridge , Brownian motion , Canonical decomposition , Volterra transform

Rights: Creative Commons Attribution 3.0 License

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Vol.7 • 2002

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Larbi Alili "Canonical Decompositions of Certain Generalized Brownian Bridges," Electronic Communications in Probability, Electron. Commun. Probab. 7(none), 27-35, (2002)

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