Markov Processes with Identical Bridges
Abstract
Description
Let X and Y be time-homogeneous Markov processes with common state space E, and assume that the transition kernels of X and Y admit densities with respect to suitable reference measures. We show that if there is a time t>0 such that, for each x\in E, the conditional distribution of (X_s)_{0 < s < t}, given X_0 = x = X_t, coincides with the conditional distribution of (Y_s)_{0 < s < t}, given Y_0 = x = Y_t, then the infinitesimal generators of X and Y are related by [L^Y]f = ψ^{-1}[L^X](ψf)-λf, where ψis an eigenfunction of L^X with eigenvalue λ. Under an additional continuity hypothesis, the same conclusion obtains assuming merely that X and Y share a ``bridge'' law for one triple (x,t,y). Our work entends and clarifies a recent result of I. Benjamini and S. Lee.
12 pages. See also http://math.ucsd.edu/~pfitz/preprints.html
12 pages. See also http://math.ucsd.edu/~pfitz/preprints.html