A Brownian bridge construction for non-Gaussian processes

Description

The classical Brownian bridge construction depends heavily on the fact that two normals are independent if and only if they are uncorrelated, which makes it hard to generalize to more general Lévy processes. We demonstrate how one can find a construction of paths of a Lévy process which has all the advantages of a Brownian bridge construction. We give numerical results from applications in finance.

Period	30 Sept 2004
Event title	Number Theoretic Algorithms and Related Topics
Event type	Conference
Location	AustriaShow on map