Bridge representation and modal-path approximation

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:129

Article

Akahori, Jiro .¹  Song, Xiaoming²  Wang, Tai-Ho³ 

[1] Ritsumeikan Univ, Dept Math Sci, Noji Higashi 1-1-1, Kusatsu, Shiga 5258577, Japan

[2] Drexel Univ, Dept Math, 32nd & Market St, Philadelphia, PA 19104 USA

[3] CUNY, Baruch Coll, Dept Math, 1 Bernard Baruch Way, New York, NY 10010 USA

关键词: Asymptotic expansion;    Mixed fractional Brownian motion;    Bridge representation;    Modal-path approximation;   

DOI  :  10.1016/j.spa.2018.02.013

来源: Elsevier

【 摘 要 】

The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional Brownian motion with drift. As a result, a small time approximation of the joint density is readily obtained by substituting the conditional expectation under the bridge measure by a single path: the modal-path from the initial point to the terminal point. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

Free