Jumping Markov Processes

J. Jacod; A. V. Skorokhod

Annales de l'I.H.P. Probabilités et statistiques (1996)

  • Volume: 32, Issue: 1, page 11-67
  • ISSN: 0246-0203

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Jacod, J., and Skorokhod, A. V.. "Jumping Markov Processes." Annales de l'I.H.P. Probabilités et statistiques 32.1 (1996): 11-67. <http://eudml.org/doc/77529>.

@article{Jacod1996,
author = {Jacod, J., Skorokhod, A. V.},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {Markov jump processes; martingales; infinitesimal generator; additive functionals},
language = {eng},
number = {1},
pages = {11-67},
publisher = {Gauthier-Villars},
title = {Jumping Markov Processes},
url = {http://eudml.org/doc/77529},
volume = {32},
year = {1996},
}

TY - JOUR
AU - Jacod, J.
AU - Skorokhod, A. V.
TI - Jumping Markov Processes
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1996
PB - Gauthier-Villars
VL - 32
IS - 1
SP - 11
EP - 67
LA - eng
KW - Markov jump processes; martingales; infinitesimal generator; additive functionals
UR - http://eudml.org/doc/77529
ER -

References

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  1. [1] R.M. Blumenthal and R.K. Getoor, Markov processes and potential theory, Academic Press, New York, 1968. Zbl0169.49204MR264757
  2. [2] E. Cinlar, J. Jacod, P. Protter and M.J. Sharpe, Semimartingales and Markov processes, Z. Wahrsch. Verw. Geb., Vol. 52, 1980, pp. 161-220. Zbl0443.60074MR597337
  3. [3] M.H.A. Davis, Piecewise-deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models, J. R. Statist. Soc. B, Vol. 46, 1984, pp. 353-388. Zbl0565.60070MR790622
  4. [4] C. Dellacherie and P.-A. Meyer, Probabilités et potentiel I., Herman, Paris, 1976. MR488194
  5. [5] E.B. Dynkin, Theory of Markov processes, Pergamon Press, New York, 1960. Zbl0091.13605MR131900
  6. [6] E.B. Dynkin, Markov Processes (I, II), Springer Verlag, Berlin, 1965. Zbl0132.37901
  7. [7] E.B. Dynkin, S.E. Kuznetsov and A.V. Skorokhod, Branching measure-valued processes, Probab. Theory Relat. Fields, Vol. 99, 1994, pp. 55-96. Zbl0813.60076MR1273742
  8. [8] J. Jacod, Multivariate point processes : predictable projection, Radon-Nikodym derivatives, representation of martingales, Z. Wahrsch. Verw. Geb., Vol. 31, 1975, pp. 235-253. Zbl0302.60032MR380978
  9. [9] J. Jacod and A.N. Shiryaev, Limit theorems for stochastic processes, Springer Verlag, Berlin, 1987. Zbl0635.60021MR959133
  10. [10] J. Jacod and A.V. Skorokhod, Jumping filtrations and martingales with finite variation, In: Sém. Proba. XXVIII, Lect. Notes in Math., Vol. 1583, 1994, pp. 21-35. Zbl0814.60039MR1329098
  11. [11] H. Kunita, Absolute continuity of Markov processes and generators, Nagoya J. Math., Vol. 36, 1969, pp. 1-26. Zbl0186.51203MR250387
  12. [12] C. Mayer, Processus de Markov non stationnaires et espace-temps, Ann. Inst. H. Poincaré, Vol. IV, 1968, pp. 165-177. Zbl0226.60090MR245087
  13. [13] P.-A. Meyer, Renaissance, recollements, mélanges, ralentissement de processus de Markov, Ann. Inst. Fourier, Vol. 25, 1975, pp. 465-497. Zbl0304.60041MR415784

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