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
收藏
页码：240 / 246
页数：7
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