Reciprocal Processes: A Stochastic Analysis Approach

Sylvie Rœlly ()
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Sylvie Rœlly: Institut für Mathematik der Universität Potsdam

A chapter in Modern Stochastics and Applications, 2014, pp 53-67 from Springer

Abstract: Abstract Reciprocal processes, whose concept can be traced back to E. Schrödinger, form a class of stochastic processes constructed as mixture of bridges. They are Markov fields indexed by a time interval. 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 chapter is based on joint works with M. Thieullen, R. Murr, and C. Léonard.

Keywords: Path Space; Brownian Diffusion; Uhlenbeck Process; Wiener Measure; Reference Process (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-3-319-03512-3_4

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DOI: 10.1007/978-3-319-03512-3_4

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