Operator scaled Wiener bridges

We introduce operator scaled Wiener bridges by incorporating a matrix scaling in the drift part of the SDE of a multidimensional Wiener bridge. A sufficient condition for the bridge property of the SDE solution is derived in terms of the eigenvalues of the scaling matrix. We analyze the asymptotic b...

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Bibliographic Details
Published inarXiv.org
Main Authors Matyas Barczy, Kern, Peter, Krause, Vincent
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 15.06.2014
Subjects
Asymptotic properties
Bridges
Eigenvalues
Scaling
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Summary:We introduce operator scaled Wiener bridges by incorporating a matrix scaling in the drift part of the SDE of a multidimensional Wiener bridge. A sufficient condition for the bridge property of the SDE solution is derived in terms of the eigenvalues of the scaling matrix. We analyze the asymptotic behavior of the bridges and briefly discuss the question whether the scaling matrix determines uniquely the law of the corresponding bridge.
ISSN:2331-8422