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Reciprocal Processes: A Stochastic Analysis Approach

In: Modern Stochastics and Applications

Author

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  • Sylvie Rœlly

    (Institut für Mathematik der Universität Potsdam)

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.

Suggested Citation

  • Sylvie Rœlly, 2014. "Reciprocal Processes: A Stochastic Analysis Approach," Springer Optimization and Its Applications, in: Volodymyr Korolyuk & Nikolaos Limnios & Yuliya Mishura & Lyudmyla Sakhno & Georgiy Shevchenko (ed.), Modern Stochastics and Applications, edition 127, pages 53-67, Springer.
    • Handle: RePEc:spr:spochp:978-3-319-03512-3_4
    DOI: 10.1007/978-3-319-03512-3_4
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