Time reversal of non-Markov point processes

Robert J. Elliott; Allanus H. Tsoi

Annales de l'I.H.P. Probabilités et statistiques (1990)

  • Volume: 26, Issue: 2, page 357-373
  • ISSN: 0246-0203

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Elliott, Robert J., and Tsoi, Allanus H.. "Time reversal of non-Markov point processes." Annales de l'I.H.P. Probabilités et statistiques 26.2 (1990): 357-373. <http://eudml.org/doc/77383>.

@article{Elliott1990,
author = {Elliott, Robert J., Tsoi, Allanus H.},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {Poisson process; time reversed processes; quasi-martingales},
language = {eng},
number = {2},
pages = {357-373},
publisher = {Gauthier-Villars},
title = {Time reversal of non-Markov point processes},
url = {http://eudml.org/doc/77383},
volume = {26},
year = {1990},
}

TY - JOUR
AU - Elliott, Robert J.
AU - Tsoi, Allanus H.
TI - Time reversal of non-Markov point processes
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1990
PB - Gauthier-Villars
VL - 26
IS - 2
SP - 357
EP - 373
LA - eng
KW - Poisson process; time reversed processes; quasi-martingales
UR - http://eudml.org/doc/77383
ER -

References

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  1. [1] K. Bichteler, J.-B. Gravereaux and J. Jacod, Malliavin Calculus for Processes with Jumps, Stochastics Monographs, Vol. 2, Gordon and Breach, New York, London, 1987. Zbl0706.60057MR1008471
  2. [2] R.J. Elliott, Stochastic Calculus and Applications, Applications of Mathematics, Vol. 18, Springer-Verlag, Berlin, Heidelberg, New York, 1982. Zbl0503.60062MR678919
  3. [3] R.J. Elliott, Filtering and control for point process observations, Research Report No. 09.86.1, Department of Statistics and Applied Probability, University of Alberta, 1986. 
  4. [4] R.J. Elliott and B.D.O. Anderson, Reverse time diffusions, Stoch. Proc. Appl., Vol. 19, 1985, pp. 327-339. Zbl0577.60058MR787590
  5. [5] R.J. Elliott and P.E. Kopp, Eauivalent Martingale measures for bridge processes, Technical Report No. 89.17, Department of Statistics and Applied Probability, University of Alberta, 1989. 
  6. [6] R.J. Elliott and A.H. Tsoi, Integration by parts for Poisson processes, Technical Report No. 89.09, Department of Statistics and Applied Probability, University of Alberta, 1989. Zbl0768.60052
  7. [7] H. Föllmer, Random fields and diffusion processes, École d'Été de Probabilités de Saint-Flour XV-XVII, 1985–87, Lect. Notes Math., Vol. 1362, Springer-Verlag, Berlin. Zbl0661.60063MR983373
  8. [8] U.G. Haussman and E. Pardoux, Time reversal of diffusions, Ann. Prob., Vol. 14, 1986, pp. 1188-1205. Zbl0607.60065MR866342
  9. [9] J. Jacod and P. Protter, Time reversal on Lévy processes, to appear. Zbl0646.60052MR929066
  10. [10] T. Jeulin and M. Yor, Inégalité de Hardy, semi-martingales et faux-amis, Séminaire de Probabilités XIII, Lect. Notes Math., Vol. 721, 1979, pp. 332-359, Springer-Verlag, Berlin. Zbl0419.60049MR544805
  11. [11] E. Nelson, Dynamical theories of Brownian motion, Princeton University Press, 1967. Zbl0165.58502MR214150
  12. [12] C. Stricker, Une Characterization des quasimartingales, Séminaire de Probabilités IX, Lect. Notes Math., Vol. 465, 1975, pp. 420-424, Springer-Verlag, Berlin. Zbl0321.60042MR423516

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