c**********e
发帖数: 2007 | 1 Let Ws be a Brownian bridge, that is a Brownian motion constrained such that
W0=0 an Wt=x. What is the SDE satisfied by the constrained process? | s*****u
发帖数: 164 | 2 Oksendal, Stochastic Differential Equations, Page 76
dY_t = \frac{b-Y_t}{1-t}dt + dB_t, 0<=t<1, Y_0 = a
For your case, a = 0, b = x. | c**********e
发帖数: 2007 | 3 Thank you.
【在 s*****u 的大作中提到】
: Oksendal, Stochastic Differential Equations, Page 76
: dY_t = \frac{b-Y_t}{1-t}dt + dB_t, 0<=t<1, Y_0 = a
: For your case, a = 0, b = x.
|
|
