Olga Aryasova (Inst. of Geophysics, Nat. Acad. of Sciences of Ukraine / Friedrich–Schiller–Univ. Jena)
In the talk, we present a characterization of the bridges of Lévy processes through a functional equation. This result allows us to obtain stochastic domination for the bridges through unconditioned Lévy processes and a new sampling algorithm for Lévy bridges.
We also discuss the connection between the Poisson point processes conditioned to satisfy linear constraints and Lévy bridges, showing how the above results rely upon it.