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Markovian bridges driven by Lévy processes are constructed from the data of an initial and a final distribution, as particular cases of a family of time reversible diffusions with jumps. In this way we construct a large class of not necessarily continuous Markovian Bernstein processes. These processes are also characterized using the theory of stochastic control for jump processes. Our construction is motivated by Euclidean quantum mechanics in momentum representation, but the resulting class of processes is much bigger than the one needed for this purpose. A large collection of examples is included. [Copyright &y& Elsevier]

A general method for deriving Girsanov or quasi-invariance formulas for classical stochastic processes with independent increments obtained as components of Lévy processes on real Lie algebras is presented. Letting a unitary operator arising from the associated factorizable current representation act on an appropriate commutative subalgebra, a second commutative subalgebra is obtained. Under certain conditions the two commutative subalgebras lead to two classical processes such that the law of the second process is absolutely continuous w.r.t. to the first. Examples include the Girsanov formula for Brownian motion as well as quasi-invariance formulas for the Poisson process, the Gamma process,[sup 15,16] and the Meixner process. [ABSTRACT FROM AUTHOR]

The compensated Poisson noise is expressed as a composite sum (splitting) of creation and annihilation operators, whose probabilistic interpretation relies on time changes. We construct an Itô table for this decomposition and obtain continuous and discrete time realizations of Lévy processes on the finite difference algebra fd and on sl[sub 2], e.g. the space-time dual of the Poisson process (compensated gamma process), and the continuous binomial process. [ABSTRACT FROM AUTHOR]