Conditioned Point Processes with Application to Levy Bridges
- Our first result concerns a characterization by means of a functional equation of Poisson point processes conditioned by the value of their first moment. It leads to a generalized version of Mecke’s formula. En passant, it also allows us to gain quantitative results about stochastic domination for Poisson point processes under linear constraints. Since bridges of a pure jump Lévy process in Rd with a height a can be interpreted as a Poisson point process on space–time conditioned by pinning its first moment to a, our approach allows us to characterize bridges of Lévy processes by means of a functional equation. The latter result has two direct applications: First, we obtain a constructive and simple way to sample Lévy bridge dynamics; second, it allows us to estimate the number of jumps for such bridges. We finally show that our method remains valid for linearly perturbed Lévy processes like periodic Ornstein–Uhlenbeck processes driven by Lévy noise.
Author details: | Giovanni ConfortiORCiDGND, Tetiana KosenkovaORCiD, Sylvie RoellyGND |
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DOI: | https://doi.org/10.1007/s10959-018-0863-8 |
ISSN: | 0894-9840 |
ISSN: | 1572-9230 |
Title of parent work (English): | Journal of theoretical probability |
Publisher: | Springer |
Place of publishing: | New York |
Publication type: | Article |
Language: | English |
Year of first publication: | 2019 |
Publication year: | 2019 |
Release date: | 2020/09/30 |
Tag: | Ornstein-Uhlenbeck |
Volume: | 32 |
Issue: | 4 |
Number of pages: | 24 |
First page: | 2111 |
Last Page: | 2134 |
Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik |
DDC classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
Peer review: | Referiert |
Publishing method: | Open Access |
Open Access / Green Open-Access |