Geodesic
Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process
Kybernetika, Tome 37 (2001) no. 6, pp. 647-667 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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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.
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.
Classification : 60G15, 60J65
Keywords: linear transformations of a Wiener process; Brownian bridge; Ornstein-Uhlenbeck process 
@article{KYB_2001_37_6_a1,
     author = {Lachout, Petr},
     title = {Linear transformations of {Wiener} process that born {Wiener} process, {Brownian} bridge or {Ornstein-Uhlenbeck} process},
     journal = {Kybernetika},
     pages = {647--667},
     year = {2001},
     volume = {37},
     number = {6},
     mrnumber = {1936993},
     zbl = {1265.60082},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2001_37_6_a1/}
}
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Lachout, Petr. Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process. Kybernetika, Tome 37 (2001) no. 6, pp. 647-667. http://geodesic.mathdoc.fr/item/KYB_2001_37_6_a1/

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