Reciprocal processes. A measure-theoretical point of view

Abstract

The bridges of a Markov process are also Markov. But an arbitrary mixture of these bridges fails to be Markov in general. However, it still enjoys the interesting properties of a reciprocal process.

The structures of Markov and reciprocal processes are recalled with emphasis on their time-symmetries. A review of the main properties of the reciprocal processes is presented. Our measure-theoretical approach allows for a unified treatment of the diffusion and jump processes. Abstract results are illustrated by several examples and counter-examples.