A decomposition for Markov processes at an independent exponential time
Abstract
The path of Markov process X run up to an independent exponential random time Sθ can be decomposed into the part prior to the last exit time from a point before Sθ, and the remainder up to Sθ. In this paper the laws of the two segments are identified under suitable assumptions using excursion theory.
Keywords
Markov proceses, last exit decompositions, excursion theory
DOI: https://doi.org/10.26493/1855-3974.943.2a3
ISSN: 1855-3974
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