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Kybernetika 37(6):647-667, 2001.

Linear Transformations of Wiener Process that Born Wiener Process, Brownian Bridge or Ornstein-Uhlenbeck Process .

Petr Lachout


Abstract:

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.


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BIB TeX

@article{kyb:2001:6:647-667,

author = {Lachout, Petr },

title = {Linear Transformations of Wiener Process that Born Wiener Process, Brownian Bridge or Ornstein-Uhlenbeck Process .},

journal = {Kybernetika},

volume = {37},

year = {2001},

number = {6},

pages = {647-667}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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