A Brownian bridge construction for non-Gaussian processes
Sprache des Vortragstitels:
Number Theoretic Algorithms and Related Topics
Sprache des Tagungstitel:
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.