Operator scaled Wiener bridges

• Published in: arXiv.org
• Main Authors: Matyas Barczy, Kern, Peter, Krause, Vincent
• Format: Paper
• Language: English
• Published: Ithaca Cornell University Library, arXiv.org 15.06.2014
• Subjects: Asymptotic properties; Bridges; Eigenvalues; Scaling

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...