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Markov processes with identical bridges

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Publication:1269717
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DOI10.1214/EJP.v3-34zbMath0907.60066arXivmath/9803049MaRDI QIDQ1269717

Patrick J. Fitzsimmons

Publication date: 29 October 1998

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/9803049


zbMATH Keywords

transition densityeigenfunctionbridge law


Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)


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Conditioning and initial enlargement of filtration on a Riemannian manifold. ⋮ Fluctuations of bridges, reciprocal characteristics and concentration of measure ⋮ Conditioning two diffusion processes with respect to their first-encounter properties ⋮ Boundary-crossing identities for diffusions having the time-inversion property ⋮ Conditioned stochastic differential equations: theory, examples and application to finance. ⋮ (Homogeneous) Markovian bridges ⋮ Diffusion processes with identical bridges ⋮ On first range times of linear diffusions



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