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Conditioned Point Processes with Application to Lévy Bridges

Author

Listed:
  • Giovanni Conforti

    (Université Paris-Saclay)

  • Tetiana Kosenkova

    (Institut für Mathematik der Universität Potsdam)

  • Sylvie Rœlly

    (Institut für Mathematik der Universität Potsdam)

Abstract

Our first result concerns a characterization by means of a functional equation of Poisson point processes conditioned by the value of their first moment. It leads to a generalized version of Mecke’s formula. En passant, it also allows us to gain quantitative results about stochastic domination for Poisson point processes under linear constraints. Since bridges of a pure jump Lévy process in $$\mathbb {R}^d$$ R d with a height $$\mathfrak {a}$$ a can be interpreted as a Poisson point process on space–time conditioned by pinning its first moment to $$\mathfrak {a}$$ a , our approach allows us to characterize bridges of Lévy processes by means of a functional equation. The latter result has two direct applications: First, we obtain a constructive and simple way to sample Lévy bridge dynamics; second, it allows us to estimate the number of jumps for such bridges. We finally show that our method remains valid for linearly perturbed Lévy processes like periodic Ornstein–Uhlenbeck processes driven by Lévy noise.

Suggested Citation

  • Giovanni Conforti & Tetiana Kosenkova & Sylvie Rœlly, 2019. "Conditioned Point Processes with Application to Lévy Bridges," Journal of Theoretical Probability, Springer, vol. 32(4), pages 2111-2134, December.
  • Handle: RePEc:spr:jotpro:v:32:y:2019:i:4:d:10.1007_s10959-018-0863-8
    DOI: 10.1007/s10959-018-0863-8
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    References listed on IDEAS

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    1. Benjamin Nehring & Mathias Rafler & Hans Zessin, 2016. "Splitting-characterizations of the Papangelou process," Mathematische Nachrichten, Wiley Blackwell, vol. 289(1), pages 85-96, January.
    2. Giovanni Conforti & Paolo Dai Pra & Sylvie Rœlly, 2017. "Reciprocal Class of Jump Processes," Journal of Theoretical Probability, Springer, vol. 30(2), pages 551-580, June.
    3. Hoyle, Edward & Hughston, Lane P. & Macrina, Andrea, 2011. "Lévy random bridges and the modelling of financial information," Stochastic Processes and their Applications, Elsevier, vol. 121(4), pages 856-884, April.
    4. Fitzsimmons, P. J. & Getoor, R. K., 1995. "Occupation time distributions for Lévy bridges and excursions," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 73-89, July.
    5. Jan Pedersen & Ken-Iti Sato, 2005. "The Class of Distributions of Periodic Ornstein–Uhlenbeck Processes Driven by Lévy Processes," Journal of Theoretical Probability, Springer, vol. 18(1), pages 209-235, January.
    6. Conforti, Giovanni & Léonard, Christian, 2017. "Reciprocal classes of random walks on graphs," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1870-1896.
    Full references (including those not matched with items on IDEAS)

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