Reciprocal processes : a stochastic analysis approach

Reciprocal processes, whose concept can be traced back to E. Schrödinger, form a class of stochastic processes constructed as mixture of bridges, that satisfy a time Markov field property. We discuss here a new unifying approach to characterize several types of reciprocal processes via duality formulae on path spaces: The case of reciprocal processes with continuous paths associated to Brownian diffusions and the case of pure jump reciprocal processes associated to counting processes are treated. This presentation is based on joint works with M. Thieullen, R. Murr and C. Léonard.

Metadaten
Verfasserangaben:	Sylvie Roelly GND
URN:	urn:nbn:de:kobv:517-opus-64588
ISSN:	2193-6943
Schriftenreihe (Bandnummer):	Preprints des Instituts für Mathematik der Universität Potsdam (2 (2013) 6)
Publikationstyp:	Preprint
Sprache:	Englisch
Erscheinungsjahr:	2013
Veröffentlichende Institution:	Universität Potsdam
Datum der Freischaltung:	05.03.2013
Freies Schlagwort / Tag:	Brownian bridge; Poisson bridge; Reciprocal process; duality formula
Organisationseinheiten:	Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
DDC-Klassifikation:	5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
MSC-Klassifikation:	60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G99 None of the above, but in this section
	60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J99 None of the above, but in this section
Sammlung(en):	Universität Potsdam / Schriftenreihen / Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943 / 2013
Lizenz (Deutsch):	Keine öffentliche Lizenz: Unter Urheberrechtsschutz
Externe Anmerkung:	RVK-Klassifikation: SI 990