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Journal Article

On linear transformations of Wiener process

Lachout Petr

: Tatra Mountains Mathematical Publications vol.26, 1 (2003), p. 1-9

: CEZ:AV0Z1075907

: GA201/02/0621, GA ČR

: Wiener process, stochastic integral, covariance

(eng): We characterize those linear transformations of a Wiener process which result in a time-changed Wiener process. We present a complete discussion of one point transformation and a partial discussion for two point transformation.

: 12A

: BA

07.01.2019 - 08:39