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.

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Pages: 27-35

Publication Date: December 17, 2001

DOI: 10.1214/ECP.v7-1044

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