Open AccessA Parallel between Brownian Bridges and Gamma Bridges
Author(s) -
Marc Yor,
Michel Émery
Publication year - 2004
Publication title -
publications of the research institute for mathematical sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.786
H-Index - 39
eISSN - 1663-4926
pISSN - 0034-5318
DOI - 10.2977/prims/1145475488
Subject(s) - subordinator , brownian motion , brownian bridge , mathematics , brownian excursion , statistical physics , value (mathematics) , statistics , diffusion process , physics , geometric brownian motion , computer science , knowledge management , innovation diffusion
Some properties of the Gamma bridges (obtained by conditioning the Gamma subordinator to take a given value at a given time) are investigated; similarities with the Brownian bridges are emphasized
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