linear transformations of a Wiener process; Brownian bridge; Ornstein-Uhlenbeck process
The paper presents a discussion on linear transformations of a Wiener process. The considered processes are collections of stochastic integrals of non-random functions w.r.t. Wiener process. We are interested in conditions under which the transformed process is a Wiener process, a Brownian bridge or an Ornstein –Uhlenbeck process.
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. Springer, Berlin 1997 MR 1464694