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(Homogeneous) markovian bridges

Vincent Vigon (2011)

Annales de l'I.H.P. Probabilités et statistiques

(Homogeneous) Markov bridges are (time homogeneous) Markov chains which begin at a given point and end at a given point. The price to pay for preserving the homogeneity is to work with processes with a random life-span. Bridges are studied both for themselves and for their use in describing the transformations of Markov chains: restriction on a random interval, time reversal, time change, various conditionings comprising the confinement in some part of the state space. These bridges lead us to look...

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