Original article at: http://www.math.washington.edu/~ejpecp/viewarticle.php?id=1236

Markov Processes with Identical Bridges

P. J. Fitzsimmons, University of California, San Diego

Abstract

Let X and Y be time-homogeneous Markov processes with common state space E, and assume that the transition kernels of X and Y admit densities with respect to suitable reference measures. We show that if there is a time t>0 such that, for each x in E, the conditional distribution of [X(s), 0 <= s <= t], given X(0) = x = X(t), coincides with the conditional distribution of [Y(s), 0 <= s <= t], given Y(0) = x = Y(t), then the infinitesimal generators of X and Y are related by LY(f)=p^{-1}LX(p*f)-lambda*f, where p is an eigenfunction of LX with real eigenvalue lambda. Under an additional continuity hypothesis, the same conclusion obtains assuming merely that X and Y share a "bridge" law for one triple (x,t,y). Our work extends and clarifies a recent result of I. Benjamini and S. Lee.

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Original article at: http://www.math.washington.edu/~ejpecp/viewarticle.php?id=1236