TY  - INPR
A1  - Conforti, Giovanni
A1  - Roelly, Sylvie
T1  - Reciprocal class of random walks on an Abelian group
N2  - Processes having the same bridges as a given reference Markov process constitute its reciprocal class. In this paper we study the reciprocal class of a continuous time random walk with values in a countable Abelian group, we compute explicitly its reciprocal characteristics and we present an integral characterization of it. Our main tool is a new iterated version of the celebrated Mecke's formula from the point process theory, which allows us to study, as transformation on the path space, the addition of random loops. Thanks to the lattice structure of the set of loops, we even obtain a sharp characterization. At the end, we discuss several examples to illustrate the richness of reciprocal classes. We observe how their structure depends on the algebraic properties of the underlying group.
T3  - Preprints des Instituts für Mathematik der Universität Potsdam - 4 (2015) 1 
KW  - reciprocal class
KW  - stochastic bridge
KW  - random walk on Abelian group
Y1  - 2015
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-72604
SN  - 2193-6943
VL  - 4
IS  - 1
PB  - Universitätsverlag Potsdam
CY  - Potsdam
ER  - 
TY  - INPR
A1  - Dereudre, David
A1  - Mazzonetto, Sara
A1  - Roelly, Sylvie
T1  - An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
N2  - In this paper we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this density in an exact way.
T3  - Preprints des Instituts für Mathematik der Universität Potsdam - 4 (2015) 9 
KW  - skew Brownian motion
KW  - semipermeable barriers
KW  - distorted Brownian motion
KW  - local time
KW  - rejection sampling
KW  - exact simulation
Y1  - 2015
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-80613
SN  - 2193-6943
VL  - 4
IS  - 9
PB  - Universitätsverlag Potsdam
CY  - Potsdam
ER  -