Generalized Gaussian bridges
Sottinen, Tommi; Yazigi, Adil (2014)
Sottinen, Tommi
Yazigi, Adil
Elsevier North-Holland Publ. Co. Bernoulli Society for Mathematical Statistics and Probability
2014
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2021041510539
https://urn.fi/URN:NBN:fi-fe2021041510539
Kuvaus
vertaisarvioitu
© 2014 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-SA license (http://creativecommons.org/licenses/by-nc-sa/3.0/).
© 2014 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-SA license (http://creativecommons.org/licenses/by-nc-sa/3.0/).
Tiivistelmä
A generalized bridge is a stochastic process that is conditioned on N linear functionals of its path. We consider two types of representations: orthogonal and canonical. The orthogonal representation is constructed from the entire path of the process. Thus, the future knowledge of the path is needed. In the canonical representation the filtrations of the bridge and the underlying process coincide. The canonical representation is provided for prediction-invertible Gaussian processes. All martingales are trivially prediction-invertible. A typical non-semimartingale example of a prediction-invertible Gaussian process is the fractional Brownian motion. We apply the canonical bridges to insider trading.
Kokoelmat
- Artikkelit [2330]