Sottinen, Tommi; Yazigi, Adil - In: Stochastic Processes and their Applications 124 (2014) 9, pp. 3084-3105
A generalized bridge is a stochastic process that is conditioned on N linear functionals of its path. We consider two types of representations: orthogonal and canonical. The orthogonal representation is constructed from the entire path of the process. Thus, the future knowledge of the path is...