Markov bridge processes

Especially Lévy bridges, Doob h-transforms

\(\renewcommand{\var}{\operatorname{Var}} \renewcommand{\dd}{\mathrm{d}} \renewcommand{\pd}{\partial} \renewcommand{\bb}[1]{\mathbb{#1}} \renewcommand{\bf}[1]{\mathbf{#1}} \renewcommand{\vv}[1]{\boldsymbol{#1}} \renewcommand{\mm}[1]{\mathrm{#1}} \renewcommand{\cc}[1]{\mathcal{#1}} \renewcommand{\oo}[1]{\operatorname{#1}} \renewcommand{\gvn}{\mid} \renewcommand{\II}{\mathbb{I}} \renewcommand{\disteq}{\stackrel{d}{=}} \renewcommand{\rv}[1]{\mathsf{#1}} \renewcommand{\vrv}[1]{\vv{\rv{#1}}} \renewcommand{\Ex}{\mathbb{E}} \renewcommand{\Pr}{\mathbb{P}}\)

A bridge process for some time-indexed Markov process \(\{\rv{x}(t)\}_{t\in[0,T]}\) is obtained from that process by conditioning it to attain a fixed value at the final time \(\rv{x}(T)=Y\) starting from \(\rv{x}(0)=X\), on an interval \([0,T]\). We write that as \(\{\rv{x}(t)\mid \rv{x}(0)=X,\rv{x}(T)=Y\}_{t\in[0,T]}.\) Put another way, given the starting and finishing values of a stochastic markov process, I would like to rewind time to find out the values of its path at a midpoint which is “compatible” with the endpoints.1 Or, if we jump back then forward again, we can construct generalised autoregressive processes.

Lévy bridges

I am mostly interested in bridges for Lévy increment processes in particular.

It is trivial (more or less) to derive the properties of the bridge for a Wiener process, so that can be found in every stochastic processes textbook. There is an introduction for Lévy processes in (Bertoin 1996, VIII.3). TODO: check that it admits processes with jumps.

Fitzsimmons, Pitman, and Yor (1993) describes a general assortment of methods for handling the properties of bridges, and Perman, Pitman, and Yor (1992) specialises them on pure jump processes (Poisson, gamma).


In fact “bridge” is a terrible metaphor for these processes and it has simplified nothing for me to use this image as an illustration I am so sorry.

When is a Lévy bridge distribution computationally tractable?

I know it is simple for Gamma, Brownian, and Poisson Lévy processes. Are there others? Yor (2007) asserts that among the Lévy processes, only Brownian and Gamma processes have closed form expressions for the bridge. That is not right; a Poisson process has a simple bridge (binomial sub-division of the increment). Also, both Gamma and Brownian can admit a deterministic drift term.

Anyway, there is a lot or work on conditioning Browning processes and more generally Gaussian processes; see Gaussian processes, esp. Gaussian processes with pathwise conditioning.

However, I cannot think of other easy examples. Compound Poisson processes, for example, will have a nasty integral term over an unbounded number of dimensions if we do it the obvious way.

Surely there are proofs about this? I have half a mind to see if I cannot find a classification of processes admitting tractable bridges with my rudimentary variational calculus skills.

Continuous time, discrete-state Markov processes

A classic. TBC.

General Markov processes

i.e. not just process with stationary increments, but satisfying the Markov property.

Alexandre Hoang Thiery describes Doob’s h-transform method for general Markov processes and notes that while it might be good for deducing certain properties of the paths of such a conditioned process, it is not necessarily a good way of sampling it. Although if you happen to derive an analytic form that way, it is good for both.

For a fairly old and simple concept, work in the area skews surprisingly recent (i.e post 1990), given that applications seem to cite the early, gruelling (Doob 1957) as the foundation; perhaps for about 30 years no-one wanted to learn enough potential theory to make it go? Or perhaps I am missing something because of e.g. terminology drift.

See also


Bertoin, Jean. 1996. Lévy Processes. Cambridge Tracts in Mathematics 121. Cambridge ; New York: Cambridge University Press.
Bloemendal, Alex. 2010. “Doob’s h-Transform: Theory and Examples.”
Chung, Kai Lai, and John B. Walsh, eds. 2005. H-Transforms.” In Markov Processes, Brownian Motion, and Time Symmetry, 320–35. Grundlehren Der Mathematischen Wissenschaften. New York, NY: Springer.
Chung, Kai Lai, John B. Walsh, and Kai Lai Chung. 2005. Markov Processes, Brownian Motion, and Time Symmetry. 2nd ed. Vol. 249. Grundlehren Der Mathematischen Wissenschaften 249. Berlin ; New York: Springer.
Dembo, Amir. 2013. Stochastic Processes Lecture Notes.”
Doob, J. L. 1957. Conditional brownian motion and the boundary limits of harmonic functions.” Bulletin de la Société Mathématique de France 85: 431–58.
Dufresne, Daniel. 1998. Algebraic Properties of Beta and Gamma Distributions, and Applications.” Advances in Applied Mathematics 20 (3): 285–99.
Émery, Michel, and Marc Yor. 2004. A Parallel Between Brownian Bridges and Gamma Bridges.” Publications of the Research Institute for Mathematical Sciences 40 (3): 669–88.
Fitzsimmons, Pat, Jim Pitman, and Marc Yor. 1993. Markovian Bridges: Construction, Palm Interpretation, and Splicing.” In Seminar on Stochastic Processes, 1992, edited by E. Çinlar, K. L. Chung, M. J. Sharpe, R. F. Bass, and K. Burdzy, 101–34. Progress in Probability. Boston, MA: Birkhäuser Boston.
Gasbarra, Dario, Tommi Sottinen, and Esko Valkeila. 2007. Gaussian Bridges.” In Stochastic Analysis and Applications, edited by Fred Espen Benth, Giulia Di Nunno, Tom Lindstrøm, Bernt Øksendal, and Tusheng Zhang, 361–82. Berlin, Heidelberg: Springer Berlin Heidelberg.
Jacod, Jean, and Philip Protter. 1988. Time Reversal on Levy Processes.” The Annals of Probability 16 (2): 620–41.
Janson, Svante. 2011. Stable Distributions.” Eprint arXiv:1112.0220, December.
Levin, David Asher, Y. Peres, and Elizabeth L. Wilmer. 2009. Markov Chains and Mixing Times. Providence, R.I: American Mathematical Society.
O’Connell, Neil. 2003a. A Path-Transformation for Random Walks and the Robinson-Schensted Correspondence.” Transactions of the American Mathematical Society 355 (9): 3669–97.
———. 2003b. Conditioned Random Walks and the RSK Correspondence.” Journal of Physics A: Mathematical and General 36 (12): 3049–66.
Perman, Mihael, Jim Pitman, and Marc Yor. 1992. Size-Biased Sampling of Poisson Point Processes and Excursions.” Probability Theory and Related Fields 92 (1): 21–39.
Privault, Nicolas, and Jean-Claude Zambrini. 2004. Markovian Bridges and Reversible Diffusion Processes with Jumps.” Annales de l’Institut Henri Poincare (B) Probability and Statistics 40 (5): 599–633.
Steutel, F. W., and K. van Harn. 1979. Discrete Analogues of Self-Decomposability and Stability.” The Annals of Probability 7 (5): 893–99.
Steutel, Fred W., and Klaas van Harn. 2003. Infinite Divisibility of Probability Distributions on the Real Line. Boca Raton: CRC Press.
Wolpert, Robert L. 2021. Lecture Notes on Stationary Gamma Processes.” arXiv:2106.00087 [Math], May.
Yor, Marc. 2007. Some Remarkable Properties of Gamma Processes.” In Advances in Mathematical Finance, edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, and Robert J. Elliott, 37–47. Applied and Numerical Harmonic Analysis. Birkhäuser Boston.

  1. There is a more general version given in (Privault and Zambrini 2004) where the initial and final states of the process are permitted to have distributions rather than fixed values.↩︎

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