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Inverting Ray-Knight identity

Sabot, Christophe; Tarres, Pierre (2016), Inverting Ray-Knight identity, Probability Theory and Related Fields, 165, 3, p. 559-580. 10.1007/s00440-015-0640-x

Type
Article accepté pour publication ou publié
External document link
https://arxiv.org/abs/1311.6622v2
Date
2016
Journal name
Probability Theory and Related Fields
Volume
165
Number
3
Publisher
Springer
Pages
559-580
Publication identifier
10.1007/s00440-015-0640-x
Metadata
Show full item record
Author(s)
Sabot, Christophe
Tarres, Pierre
Abstract (EN)
We provide a short proof of the Ray-Knight second generalized Theorem, using a martingale which can be seen (on the positive quadrant) as the Radon–Nikodym derivative of the reversed vertex-reinforced jump process measure with respect to the Markov jump process with the same conductances. Next we show that a variant of this process provides an inversion of that Ray-Knight identity. We give a similar result for the Ray-Knight first generalized Theorem.
Subjects / Keywords
Ray-Knight identity; martingale; Markov jump process; Gaussian free field
JEL
C11 - Bayesian Analysis: General

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