Institute of Information Theory and Automation

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Bibliography

Journal Article

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

Lachout Petr

: Kybernetika vol.37, 6 (2001), p. 647-667

: AV0Z1075907

: GA201/99/0264, GA ČR

: Wiener process, Brownian bridge, linear transformation

(eng): 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.

: 12A

: BA

2019-01-07 08:39