Note on pasting of two Markov processes
Masao Nagasawa (1976)
Séminaire de probabilités de Strasbourg
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Masao Nagasawa (1976)
Séminaire de probabilités de Strasbourg
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Vincent Vigon (2011)
Annales de l'I.H.P. Probabilités et statistiques
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(Homogeneous) Markov bridges are (time homogeneous) Markov chains which begin at a given point and end at a given point. The price to pay for preserving the homogeneity is to work with processes with a random life-span. Bridges are studied both for themselves and for their use in describing the transformations of Markov chains: restriction on a random interval, time reversal, time change, various conditionings comprising the confinement in some part of the state space. These bridges...
Menshikov, Mikhail, Volkov, Stanislav (2008)
Electronic Journal of Probability [electronic only]
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Roberts, Gareth O., Rosenthal, Jeffrey S. (1996)
Electronic Journal of Probability [electronic only]
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Hans Föllmer, Thomas Knispel (2007)
ESAIM: Probability and Statistics
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Expected suprema of a function observed along the paths of a nice Markov process define an excessive function, and in fact a potential if vanishes at the boundary. Conversely, we show under mild regularity conditions that any potential admits a representation in terms of expected suprema. Moreover, we identify the maximal and the minimal representing function in terms of probabilistic potential theory. Our results are motivated by the work of El Karoui and Meziou (2006) on the max-plus...
McShine, Lisa (2000)
The Electronic Journal of Combinatorics [electronic only]
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Siu, Tak Kuen, Lau, John W., Yang, Hailiang (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Shi, Zhiyan, Yang, Weiguo (2009)
Journal of Inequalities and Applications [electronic only]
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