A decomposition for Markov processes at an independent exponential time
DOI:
https://doi.org/10.26493/1855-3974.943.2a3Keywords:
Markov proceses, last exit decompositions, excursion theoryAbstract
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.
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2016-04-22
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