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
Author details:	Sylvie Roelly GND
URN:	urn:nbn:de:kobv:517-opus-64588
ISSN:	2193-6943
Publication series (Volume number):	Preprints des Instituts für Mathematik der Universität Potsdam (2 (2013) 6)
Publication type:	Preprint
Language:	English
Publication year:	2013
Publishing institution:	Universität Potsdam
Release date:	2013/03/05
Tag:	Brownian bridge; Poisson bridge; Reciprocal process; duality formula
Organizational units:	Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
DDC classification:	5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
MSC classification:	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
Collection(s):	Universität Potsdam / Schriftenreihen / Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943 / 2013
License (German):	Keine öffentliche Lizenz: Unter Urheberrechtsschutz
External remark:	RVK-Klassifikation: SI 990