A decomposition for Markov processes at an independent exponential time

Authors

  • Mihael Perman University of Ljubljana, Slovenia and University of Primorska, Slovenia

DOI:

https://doi.org/10.26493/1855-3974.943.2a3

Keywords:

Markov proceses, last exit decompositions, excursion theory

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.

Author Biography

Mihael Perman, University of Ljubljana, Slovenia and University of Primorska, Slovenia

Associate professor

Downloads

Published

2016-04-22

Issue

Vol. 12 No. 1 (2017)

Section

Articles

License

Articles in this journal are published under Creative Commons Attribution 4.0 International License
https://creativecommons.org/licenses/by/4.0/