Properties of the Ornstein-Uhlenbeck bridge

2013/10/21 by Sylvain Corlay, Corlay, Sylvain · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Probability (math.PR) #Random Matrices and Applications #Statistical Methods and Inference #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1310.5617

openalex publication_date 2013/10/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper presents a study of the properties of the Ornstein-Uhlenbeck bridge, specifically, we derive its Karhunen-Loève expansion for any value of the initial variance and mean-reversion parameter (or mean-repulsion if negative). We also show that its canonical decomposition can be obtained using some techniques related to generalized bridges. Finally, we present an application to the optimal functional quantization of the Ornstein-Uhlenbeck bridge.

Citations

• Least squares quantization in PCM

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