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2002 Canonical Decompositions of Certain Generalized Brownian Bridges
Larbi Alili
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Electron. Commun. Probab. 7: 27-35 (2002). DOI: 10.1214/ECP.v7-1044

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.

Citation

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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

Information

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

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