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Oberwolfach Reports


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Volume 17, Issue 4, 2020, pp. 1601–1656
DOI: 10.4171/OWR/2020/32

Published online: 2021-09-13

Stochastic Processes under Constraints

Frank Aurzada[1], Martin Kolb[2], Francoise Pène[3] and Vitali Wachtel[4]

(1) Technische Universität Darmstadt, Germany
(2) Universität Paderborn, Germany
(3) Univ Brest, France
(4) Universität Augsburg, Germany

The analysis of random processes under various constraints and conditions has been a central theme in the theory of stochastic processes, which links together several mathematical subdisciplines. The connection between potential theory and a certain type of conditioning of Markov processes via Doob’s h-transform can be seen as a classical highlight. The last decades have seen further exciting and highly interesting developments which are related to the title of the workshop such as the analysis of persistence exponents for various classes of processes and various types of penalization problems. Many of these problems are rooted in questions from statistical mechanics. The workshop aims to investigate the topic stochastic processes under constraints from all these different perspectives.

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Aurzada Frank, Kolb Martin, Pène Francoise, Wachtel Vitali: Stochastic Processes under Constraints. Oberwolfach Rep. 17 (2020), 1601-1656. doi: 10.4171/OWR/2020/32