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A class of nonlinear random walks related to the Ornstein-Uhlenbeck process
Mathematical Physics Probability nonlinear random walks the Ornstein-Uhlenbeck process
2011/8/25
Abstract: Contrary to the theory of Markov processes, no general theory exists for the so called nonlinear Markov processes. We study an example of "nonlinear Markov process" related to classical prob...
Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
Sample path deviations Wiener Ornstein-Uhlenbeck process
2010/11/9
We study sample path deviations of the Wiener process from three different representations of its bridge: anticipative version, integral representation and space-time transform. Although these repres...