(Homogeneous) Markovian bridges

DOI10.1214/10-AIHP391zbMATH Open1267.60080MaRDI QIDQ720746FDOQ720746

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

Recommendations

• Markov processes with identical bridges
• Markovian bridges: weak continuity and pathwise constructions
• Markov bridges: SDE representation
• Markovian bridges and reversible diffusion processes with jumps
• Pinned diffusions and Markov bridges
• Markov Bridges, Bisection and Variance Reduction
• Bridges of Markov counting processes: quantitative estimates
• Homogeneous Markov chains by bounded transition matrix
• Bridges with random length: Gaussian-Markovian case

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 (7)

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

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