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Reciprocal processes : a stochastic analysis approach

Reciprocal processes, whose concept can be traced back to E. Schrödinger,
form a class of stochastic processes constructed as mixture of bridges, that satisfy a time Markov field property. We discuss here a new unifying approach to characterize several types of reciprocal processes via duality formulae on path spaces: The case of reciprocal processes with continuous paths associated to Brownian diffusions and the case of pure jump reciprocal processes associated to counting processes are treated. This presentation is based on joint works with M. Thieullen, R. Murr and C. Léonard.

Identiferoai:union.ndltd.org:Potsdam/oai:kobv.de-opus-ubp:6458
Date January 2013
CreatorsRoelly, Sylvie
PublisherUniversität Potsdam, Mathematisch-Naturwissenschaftliche Fakultät. Institut für Mathematik
Source SetsPotsdam University
LanguageEnglish
Detected LanguageEnglish
TypePreprint
Formatapplication/pdf
Rightshttp://opus.kobv.de/ubp/doku/urheberrecht.php

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