Bridges of Markov counting processes: quantitative estimates
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Publication:287801
DOI10.1214/16-ECP4762zbMATH Open1338.60195arXiv1512.01180OpenAlexW2963931937MaRDI QIDQ287801FDOQ287801
Authors: Giovanni Conforti 
Publication date: 23 May 2016
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Abstract: In this paper we investigate the behavior of the bridges of a Markov counting process in several directions. We first characterize convexity(concavity) in time of the mean value in terms of lower (upper) bounds on the so called extit{reciprocal characteristics}. This result gives a natural criterion to determine whether bridges are "lazy" or "hurried". Under the hypothesis of global bounds on the reciprocal characteristics we prove sharp estimates for the marginal distributions and a comparison theorem for the jump times. When the height of the bridge tends to infinity we show the convergence to a deterministic curve, after a proper rescaling.
Full work available at URL: https://arxiv.org/abs/1512.01180
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- Large deviations for Markov bridges with jumps
- Markovian bridges: weak continuity and pathwise constructions
- Latency and liquidity risk
- Fluctuations of bridges, reciprocal characteristics and concentration of measure
- Markov Bridges, Bisection and Variance Reduction
- Bridges of Markov counting processes. Reciprocal classes and duality formulas
- (Homogeneous) Markovian bridges
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