Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process.

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F01%3A16010232" target="_blank" >RIV/67985556:_____/01:16010232 - isvavai.cz</a>

Result on the web

—

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process.

Original language description

The paper presents a discussion on linear transformations of a Wiener process. The considered processes are collections of stochastic integrals of non-random functions w.r.t. Wiener process. We are interested in conditions under which the transformed process is a Wiener process, a Brownian bridge or an Ornstein-Uhlenbeck process.

Czech name

—

Czech description

—

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

—

Project

<a href="/en/project/GA201%2F99%2F0264" target="_blank" >GA201/99/0264: Statistical estimates and tests in econometric models</a><br>

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2001

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

—

Volume of the periodical

37

Issue of the periodical within the volume

6

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

21

Pages from-to

647-667

UT code for WoS article

—

EID of the result in the Scopus database

—