Fractional Ornstein-Uhlenbeck Bridge

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10071057" target="_blank" >RIV/00216208:11320/10:10071057 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Fractional Ornstein-Uhlenbeck Bridge
Original language description
In this work we study the fractional Ornstein-Uhlenbeck bridges. First, we recall the notion of the fractional Brownian motion (fBm) and introduce a linear stochastic differential equation which is driven by (fBm) instead of standard Brownian motion. Wesummarize the results on existence and uniqueness of solutions to these equations that are called the fractional Ornstein-Uhlenbeck processes. We introduce a concept of the Gaussian bridge and we derive its representation, which we use for obtaining theformula for fractional Ornstein-Uhlenbeck bridge. The results are applied to one special example. In the last part of the paper we mention a nonanticipative representation of the bridge.
Czech name
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Czech description
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Project
<a href="/en/project/GAP201%2F10%2F0752" target="_blank" >GAP201/10/0752: Stochastic Space-Time Systems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 19th Annual Conference of Doctoral Students - WDS 2010
ISBN
978-80-7378-139-2
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
MATFYZPRESS
Place of publication
Prague
Event location
Praha
Event date
Jun 1, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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