Markovian bridges and reversible diffusion processes with jumps
type: Item
instance of: scholarly article
title: Markovian bridges and reversible diffusion processes with jumps
zbMATH Open document ID: 1060.60075
author: Nicolas Privault
author: Jean-Claude Zambrini
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 2004-10-12T00:00:00Z
full work available at URL: http://www.numdam.org/item
full work available at URL: https://eudml.org/doc/77826
review text: Markovian bridges driven by Lévy processes are constructed from the data of an initial and final distribution, as particular cases of a family of time reversible diffusions with jumps. In this way a large class of not necessarily continuous Markovian Bernstein processes are constructed. These processes are also characterized by using the theory of stochastic control for jump processes. The construction is motivated by Euclidean quantum mechanics in momentum representation, but the resulting class of processes is much bigger than the one needed for this purpose. The paper also includes a large collection of examples.
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 81S20
Mathematics Subject Classification ID: 47D07
zbMATH DE Number: 2107311
zbMATH Keywords: Lévy processes
zbMATH Keywords: Markovian bridges
zbMATH Keywords: time reversal
zbMATH Keywords: Euclidean quantum mechanics
reviewed by: Pavel Gapeev
MaRDI profile type: Publication
OpenAlex ID: W2023006444
Wikidata QID: Q62045065
DOI: 10.1016/J.ANIHPB.2003.08.001
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description: scientific article; zbMATH DE number 2107311