A decomposition for Markov processes at an independent exponential time

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Title:	A decomposition for Markov processes at an independent exponential time
Authors:	ID Perman, Mihael (Author)
Files:	RAZ_Perman_Mihael_i2017.pdf (312,49 KB) MD5: 481E83DD4451DF5B8A5E5CBEC9174BFC
Language:	English
Work type:	Unknown
Typology:	1.01 - Original Scientific Article
Organization:	ZUP - University of Primorska Press
Abstract:	The path of Markov process $X$ run up to an independent exponential random time $S_\theta$ can be decomposed into the part prior to the last exit time from a point before $S_\theta$ , and the remainder up to $S_\theta$ . In this paper the laws of the two segments are identified under suitable assumptions using excursion theory.
Year of publishing:	2017
Number of pages:	str. 51-65
Numbering:	Vol. 12, no. 1
PID:	20.500.12556/RUP-17624
UDC:	519.217
ISSN on article:	1855-3966
DOI:	10.26493/1855-3974.943.2a3
COBISS.SI-ID:	17677145
Publication date in RUP:	03.01.2022
Views:	1207
Downloads:	20
Metadata:
:	PERMAN, Mihael, 2017, A decomposition for Markov processes at an independent exponential time. Ars mathematica contemporanea [online]. 2017. Vol. 12, no. 1, p. 51–65. [Accessed 3 April 2025]. DOI 10.26493/1855-3974.943.2a3. Retrieved from: https://repozitorij.upr.si/IzpisGradiva.php?lang=eng&id=17624 Copy citation

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Title:	Ars mathematica contemporanea
Publisher:	Društvo matematikov, fizikov in astronomov, Društvo matematikov, fizikov in astronomov, Univerza na Primorskem, Fakulteta za matematiko, naravoslovje in informacijske tehnologije
ISSN:	1855-3966
COBISS.SI-ID:	239049984

Language:	Slovenian
Title:	Dekompozicija za Markovske procese pri neodvisnem eksponentnem času
Abstract:	Pot Markovskega procesa $X$ , ki teče do neodvisnega eksponentnega slučajnega časa $S_\theta$ , se da dekomponirati v del pred zadnjim izhodnim časom od točke pred $S_\theta$ , in v preostanek do $S_\theta$ . V članku identificiramo zakone teh dveh segmentov pod primernimi predpostavkami z uporabo ekskurzijske teorije.
Keywords:	markovski procesi, ekskurzije, dekompozicija zadnjega izhoda, difuzije, Brownovo gibanje

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