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RUP
FAMNIT - Faculty of Mathematics, Science and Information Technologies
FHŠ - Faculty of Humanities
FM - Faculty of Management
FTŠ Turistica - Turistica – College of Tourism Portorož
FVZ - Faculty of Health Sciences
IAM - Andrej Marušič Institute
PEF - Faculty of Education
UPR - University of Primorska
ZUP - University of Primorska Press
COBISS
University of Primorska, University Library - all departments
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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:
02.01.2022
Views:
997
Downloads:
19
Metadata:
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Record is a part of a journal
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
Secondary language
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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