Pinned diffusions and Markov bridges

DOI10.1007/S10959-019-00954-5MaRDI QIDQ2181618zbMATH OpenOpenAlexWikidataFDO

Authors Florian Hildebrandt, Sylvie Rœlly

Publication date 19 May 2020

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.08617

zbMATH Keywords

\(\alpha\)-Brownian bridgeGaussian Markov processreciprocal characteristics\(\alpha\)-Wiener bridgepinned diffusion

Mathematics Subject Classification ID

Gaussian processes (60G15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this article we consider a family of real-valued diffusion processes on the time interval $[0,1]$ indexed by their prescribed initial value $xinmathbbR$ and another point in space, $yinmathbbR$. We first present an easy-to-check condition on their drift and diffusion coefficients ensuring that the diffusion is pinned in $y$ at time $t=1$. Our main result then concerns the following question: can this family of pinned diffusions be obtained as the bridges either of a Gaussian Markov process or of an It^o diffusion? We eventually illustrate our precise answer with several examples.

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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
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Cited in

(7)

• Markovian bridges: weak continuity and pathwise constructions
• Time-convergent random matrices from mean-field pinned interacting eigenvalues
• Rigidity results in diffusion Markov triples
• Markovian bridges and reversible diffusion processes with jumps
• A family of interacting particle systems pinned to their ensemble average
• (Homogeneous) Markovian bridges
• SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES

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