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 Electronic Communications in Probability > Vol. 7 (2002) > Paper 3 open journal systems 


Canonical Decompositions of Certain Generalized Brownian Bridges

Larbi Alili, ETH Zurich


Abstract
We define a generalized Brownian bridge and we provide some information about its filtration. Two decompositions of this process as a semi-martingale are given. The first one is a Volterra decomposition and the second one is its canonical decomposition in its own filtration.


Full text: PDF

Pages: 27-35

Published on: December 17, 2001
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Electronic Communications in Probability. ISSN: 1083-589X