Absolute Continuity of Diffusion Bridges

被引：0

作者：

McGill, Paul ^{[1
]}

机构：

[1] Univ Claude Bernard Lyon 1, Dept Math, F-69622 Villeurbanne, France

来源：

SANKHYA-SERIES B-APPLIED AND INTERDISCIPLINARY STATISTICS | 2020年 / 82卷 / 02期

关键词：

Approximate bridge; Girsanov formula; Circular measure;

D O I：

10.1007/s13571-018-0184-z

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Given a Brownian motion (b(t)) and phi : R -> R of finite variation on compacts, the SDE z' = b' - phi(z) determines a unique regular diffusion. We establish equivalence of their bridge laws on C([0, 1]) via absolute continuity for an approximate version - endpoint in a bounded interval. The periodic case facilitates manipulations with circular diffusion measures.

引用

页码：240 / 246

页数：7

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