Connection between deriving bridges and radial parts from multidimensional Ornstein-Uhlenbeck processes

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dc.creatorBarczy, Matyas
dc.creatorPap, Gyula
dc.date2005-08-27
dc.date.accessioned2026-07-07T06:22:15Z
dc.date.available2026-07-07T06:22:15Z
dc.descriptionFirst we give a construction of bridges derived from a general Markov process using only its transition densities. We give sufficient conditions for their existence and uniqueness (in law). Then we prove that the law of the radial part of the bridge with endpoints zero derived from a special multidimensional Ornstein-Uhlenbeck process equals the law of the bridge with endpoints zero derived from the radial part of the same Ornstein-Uhlenbeck process. We also construct bridges derived from general multidimensional Ornstein-Uhlenbeck processes.
dc.description12 pages, To appear in Periodica Mathematica Hungarica
dc.identifierhttps://arxiv.org/abs/math/0508542
dc.identifierhttp://arxiv.org/abs/math/0508542
dc.identifierPeriodica Mathematica Hungarica Vol. 50 (1-2), 2005, 47-60
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/95852
dc.subjectProbability
dc.subject60J25 (Primary), 60J35 (Secondary)
dc.titleConnection between deriving bridges and radial parts from multidimensional Ornstein-Uhlenbeck processes
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