| bibtype |
J -
Journal Article
|
| ARLID |
0410763 |
| utime |
20240903170614.4 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0297163 |
| ISSN |
0023-5954 |
| title
|
Kybernetika |
| volume_id |
37 |
| volume |
6 (2001) |
| page_num |
647-667 |
| publisher |
| name |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
|
| keyword |
Wiener process |
| keyword |
Brownian bridge |
| keyword |
linear transformation |
| author
(primary) |
| ARLID |
cav_un_auth*0101151 |
| name1 |
Lachout |
| name2 |
Petr |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| COSATI |
12A |
| cas_special |
| project |
| project_id |
GA201/99/0264 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0005937 |
|
| research |
AV0Z1075907 |
| abstract
(eng) |
The paper presents a discussion on linear transformations of a Wiener process. The considered processes are collections of stochastic integrals of non-random functions w.r.t. Wiener process. We are interested in conditions under which the transformed process is a Wiener process, a Brownian bridge or an Ornstein-Uhlenbeck process. |
| RIV |
BA |
| department |
SI |
| permalink |
http://hdl.handle.net/11104/0130851 |
| ID_orig |
UTIA-B 20010232 |
| arlyear |
2001 |
| mrcbU63 |
cav_un_epca*0297163 Kybernetika 0023-5954 Roč. 37 č. 6 2001 647 667 Ústav teorie informace a automatizace AV ČR, v. v. i. |
|