Markov Processes with Identical Bridges
Abstract
Let X and Y be timehomogeneous 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 = \psi^{1}[L^X](\psi f)\lambda f, where \psi is an eigenfunction of L^X with eigenvalue \lambda. 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.
 Publication:

arXiv Mathematics eprints
 Pub Date:
 March 1998
 DOI:
 10.48550/arXiv.math/9803049
 arXiv:
 arXiv:math/9803049
 Bibcode:
 1998math......3049F
 Keywords:

 Probability;
 60J25 (Primary) 60J35 (Secondary)
 EPrint:
 12 pages. See also http://math.ucsd.edu/~pfitz/preprints.html