2020
DOI: 10.48550/arxiv.2002.03849
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Probability Bifurcations of Lévy Bridges

Abstract: A Lévy bridge-a stable Lévy stochastic process conditioned to arrive at some state at some later time-can exhibit behavior differing dramatically from the more widely studied case of conditioned Brownian (Gaussian) processes. This difference stems from a structural change in the conditioned probability density at intermediate times as the arrival position varies. This structural shift gives rise to a distinction between "short" and "long" jumps. We explore the consequences of this idea for the statistics of Lé… Show more

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