Bridges of Markov counting processes : reciprocal classes and duality formulas

  • Processes having the same bridges are said to belong to the same reciprocal class. In this article we analyze reciprocal classes of Markov counting processes by identifying their reciprocal invariants and we characterize them as the set of counting processes satisfying some duality formula.

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Metadaten
Author details:Giovanni ConfortiGND, Christian Léonard, Rüdiger Murr, Sylvie RoellyGND
URN:urn:nbn:de:kobv:517-opus-71855
ISSN:2193-6943
Publication series (Volume number):Preprints des Instituts für Mathematik der Universität Potsdam (3 (2014) 9)
Publisher:Universitätsverlag Potsdam
Place of publishing:Potsdam
Publication type:Preprint
Language:English
Year of first publication:2014
Completion year:2014
Publishing institution:Universität Potsdam
Publishing institution:Universitätsverlag Potsdam
Release date:2014/09/03
Tag:bridge; counting process; duality formula; reciprocal class
Volume:3
Issue:9
Number of pages:12
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 / 60G51 Processes with independent increments; Lévy processes
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 / 60G57 Random measures
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H07 Stochastic calculus of variations and the Malliavin calculus
Collection(s):Universität Potsdam / Schriftenreihen / Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943 / 2014
Publishing method:Universitätsverlag Potsdam
License (German):License LogoUrheberrechtsschutz