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Bridge representation and modal-path approximation
Journal article   Open access   Peer reviewed

Bridge representation and modal-path approximation

Jiro Akahori, Xiaoming Song and Tai-Ho Wang
Stochastic processes and their applications, v 129(1)
Jan 2019
DOI: https://doi.org/10.1016/j.spa.2018.02.013
url
https://doi.org/10.1016/j.spa.2018.02.013View
Published, Version of Record (VoR)Open Access (Publisher-Specific),  Open

Abstract

Asymptotic expansion Bridge representation Mixed fractional Brownian motion Modal-path approximation
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.

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Domestic collaboration
International collaboration
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Statistics & Probability
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