Markov processes with identical bridges.
Fitzsimmons, P.J. (1998)
Electronic Journal of Probability [electronic only]
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Fitzsimmons, P.J. (1998)
Electronic Journal of Probability [electronic only]
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Masao Nagasawa (1976)
Séminaire de probabilités de Strasbourg
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L.C.G. Rogers (1989)
Séminaire de probabilités de Strasbourg
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Svend Erik Graversen, Murali Rao (1982)
Séminaire de probabilités de Strasbourg
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Masao Nagasawa (1976)
Séminaire de probabilités de Strasbourg
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Song, Renming, Vondracek, Zoran (2008)
Electronic Communications in Probability [electronic only]
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Michael I. Taksar (1980)
Séminaire de probabilités de Strasbourg
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Hans Föllmer, Thomas Knispel (2007)
ESAIM: Probability and Statistics
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Expected suprema of a function observed along the paths of a nice Markov process define an excessive function, and in fact a potential if vanishes at the boundary. Conversely, we show under mild regularity conditions that any potential admits a representation in terms of expected suprema. Moreover, we identify the maximal and the minimal representing function in terms of probabilistic potential theory. Our results are motivated by the work of El Karoui and Meziou (2006) on the max-plus...