Generalized Gaussian bridges

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annif.suggestionsstochastic processes|Gaussian processes|mathematics|insider trading|bridges|probability calculation|modelling (creation related to information)|processes|stability (physics)|strength theory|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p11400|http://www.yso.fi/onto/yso/p38750|http://www.yso.fi/onto/yso/p3160|http://www.yso.fi/onto/yso/p13279|http://www.yso.fi/onto/yso/p14830|http://www.yso.fi/onto/yso/p4746|http://www.yso.fi/onto/yso/p3533|http://www.yso.fi/onto/yso/p2111|http://www.yso.fi/onto/yso/p3585|http://www.yso.fi/onto/yso/p9146en
dc.contributor.authorSottinen, Tommi
dc.contributor.authorYazigi, Adil
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.orcidhttps://orcid.org/0000-0002-9983-9708-
dc.contributor.orcidhttps://orcid.org/0000-0002-2433-2486-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2021-04-15T07:55:57Z
dc.date.accessioned2025-06-25T12:57:49Z
dc.date.available2021-04-15T07:55:57Z
dc.date.issued2014
dc.description.abstractA 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.-
dc.description.notification© 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/).-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent22-
dc.format.pagerange3084-3105-
dc.identifier.olddbid14015
dc.identifier.oldhandle10024/12407
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/1235
dc.identifier.urnURN:NBN:fi-fe2021041510539-
dc.language.isoeng-
dc.publisherElsevier-
dc.publisherNorth-Holland Publ. Co.-
dc.publisherBernoulli Society for Mathematical Statistics and Probability-
dc.relation.doi10.1016/j.spa.2014.04.002-
dc.relation.ispartofjournalStochastic processes and their applications-
dc.relation.issn1879-209X-
dc.relation.issn0304-4149-
dc.relation.issue9-
dc.relation.urlhttps://doi.org/10.1016/j.spa.2014.04.002-
dc.relation.volume124-
dc.rightsCC BY-NC-SA 4.0-
dc.source.identifierScopus: 84901449873-
dc.source.identifierWOS: 000338399600010-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/12407
dc.subjectCanonical representation-
dc.subjectEnlargement of filtration-
dc.subjectFractional Brownian motion-
dc.subjectGaussian process-
dc.subjectGaussian bridge-
dc.subjectHitsuda representation-
dc.subjectOrthogonal representation-
dc.subjectPrediction-invertible process-
dc.subjectVolterra process-
dc.subject.olddisciplineTalousmatematiikka-
dc.subject.ysoGaussian processes-
dc.subject.ysoinsider trading-
dc.titleGeneralized Gaussian bridges-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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