Conditioned point processes with applications to Lévy bridges

11.02.2019, 11:00  –  Golm Haus 9 Raum 2.22
Forschungsseminar Wahrscheinlichkeitstheorie

Tania Kosenkova

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.