Markov processes with identical bridges
From MaRDI portal
Publication:1269717
DOI10.1214/EJP.V3-34zbMATH Open0907.60066arXivmath/9803049MaRDI QIDQ1269717FDOQ1269717
Authors: Patrick J. Fitzsimmons 
Publication date: 29 October 1998
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: Let X and Y be time-homogeneous Markov processes with common state space E, and assume that the transition kernels of X and Y admit densities with respect to suitable reference measures. We show that if there is a time t>0 such that, for each xin E, the conditional distribution of (X_s)_{0 < s < t}, given X_0 = x = X_t, coincides with the conditional distribution of (Y_s)_{0 < s < t}, given Y_0 = x = Y_t, then the infinitesimal generators of X and Y are related by [L^Y]f = psi^{-1}[L^X](psi f)-lambda f, where psi is an eigenfunction of L^X with eigenvalue lambda. Under an additional continuity hypothesis, the same conclusion obtains assuming merely that X and Y share a ``bridge law for one triple (x,t,y). Our work entends and clarifies a recent result of I. Benjamini and S. Lee.
Full work available at URL: https://arxiv.org/abs/math/9803049
Recommendations
Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)
Cited In (11)
- On first range times of linear diffusions
- Boundary-crossing identities for diffusions having the time-inversion property
- Conditioned stochastic differential equations: theory, examples and application to finance.
- Markovian bridges: weak continuity and pathwise constructions
- Conditioning and initial enlargement of filtration on a Riemannian manifold.
- Fluctuations of bridges, reciprocal characteristics and concentration of measure
- Markovian bridges and reversible diffusion processes with jumps
- Diffusion processes with identical bridges
- Conditioning two diffusion processes with respect to their first-encounter properties
- On the Markovian similarity
- (Homogeneous) Markovian bridges
This page was built for publication: Markov processes with identical bridges
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1269717)
