2016/07/11 by Jirô Akahori, Akahori, Jiro, Xiaoming Song +3
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1607.03074
openalex publication_date 2016/07/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional Brownian motion with drift. As a result, a small time approximation of the joint density is readily obtained by substituting the conditional expectation under the bridge measure by a single path: the modal-path from the initial point to the terminal point.