Bridges of Markov counting processes. Reciprocal classes and duality formulas

DOI10.1214/ECP.V20-3697MaRDI QIDQ2517243zbMATH OpenFDO

Authors Giovanni Conforti, Rüdiger Murr, Christian Léonard, Sylvie Rœlly

Publication date 17 August 2015

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.1332

zbMATH Keywords

bridgesduality formulaMarkov counting processreciprocal class

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Stochastic calculus of variations and the Malliavin calculus (60H07) Continuous-time Markov processes on discrete state spaces (60J27)

Abstract: 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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(10)

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• Reciprocal classes of random walks on graphs
• Reciprocal class of jump processes
• Markovian bridges: weak continuity and pathwise constructions
• Bridges of Markov counting processes: quantitative estimates
• Reciprocal processes: a stochastic analysis approach
• Stochastic models of simple controlled systems just-in-time
• Reciprocal processes. A measure-theoretical point of view
• Stochastic models of just-in-time systems and windows of vulnerability in terms of the processes of birth and death
• Estimating the parameters of distributed productive just-in-time systems

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