(Homogeneous) Markovian bridges

DOI10.1214/10-AIHP391MaRDI QIDQ720746zbMATH OpenFDO

Authors Vincent Vigon

Publication date 11 October 2011

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/242908

zbMATH Keywords

Markov chainsinfinite matricesfluctuation theoryMartin boundaryprobabilistic potential theoryWiener-Hopf factorizationMarkov bridgespath-decomposition

Mathematics Subject Classification ID

Factorization of matrices (15A23) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Boundary theory for Markov processes (60J50) Probabilistic potential theory (60J45)

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Cited in

(8)

• Markovian bridges: weak continuity and pathwise constructions
• Markov Bridges, Bisection and Variance Reduction
• Markovian bridges and reversible diffusion processes with jumps
• Bridges of Markov counting processes: quantitative estimates
• Markov bridges: SDE representation
• Markov processes with identical bridges
• \(LU\)-factorization versus Wiener-Hopf factorization for Markov chains
• Bridges with random length: Gaussian-Markovian case

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