Generalized Gaussian Bridges
AbstractA generalized bridge is the law of a stochastic process that is conditioned on linear functionals of its path. We consider two types of representations of such bridges: orthogonal and canonical. In the canonical representation the filtrations and the linear spaces generated by the bridge process and the original process coincide. In the orthogonal representation the bridge is constructed from the entire path of the underlying process. The orthogonal representation is given for any continuous Gaussian process but the canonical representation is given only for so-called prediction-invertible Gaussian processes. Finally, we apply the canonical bridge representation to insider trading by interpreting the bridge from an initial enlargement of filtration point of view.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1205.3405.
Date of creation: May 2012
Date of revision:
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-22 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Campi, Luciano & Çetin, Umut & Danilova, Albina, 2011. "Dynamic Markov bridges motivated by models of insider trading," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 534-567, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.