arXiv subjects

Ching-Tang Wu

Publications and source records attributed to Ching-Tang Wu.

2 recordsLinked to original sources

arXiv2014

Müntz linear transforms of Brownian motion

We consider a class of linear Volterra transforms of Brownian motion associated to a sequence of Müntz Gaussian spaces and determine explicitly their kernels; some interesting links with Müntz-Legendre polynomials are provided. This gives new explicit examples of progressive Gaussian enlargement of the Brownian filtration. By exploiting a link to stationarity, we give a necessary and sufficient condition for the existence of kernels of infinite order associated to an infinite dimensional Müntz Gaussian space; we also examine when the transformed Brownian motion remains a semimartingale in the filtration of the original process.

math.PR↗

arXiv2008

Further results on some singular linear stochastic differential equations

A class of Volterra transforms, preserving the Wiener measure, with kernels of Goursat type is considered. Such kernels satisfy a self-reproduction property. We provide some results on the inverses of the associated Gramian matrices which lead to a new self-reproduction property. A connection to the classical reproduction property is given. Results are then applied to the study of a class of singular linear stochastic differential equations together with the corresponding decompositions of filtrations. The studied equations are viewed as non-canonical decompositions of some generalized bridges.

math.PR↗