Hostname: page-component-cd9895bd7-gbm5v Total loading time: 0 Render date: 2024-12-28T21:32:59.705Z Has data issue: false hasContentIssue false
  • English
  • Français

A simple increasing process

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

Ryszard Syski
Get access Rights & Permissions [Opens in a new window]

Abstract

An example of a simple integrable increasing process, possessing special properties relative to different filtrations, is examined from the point of view of probabilistic potential theory.

Keywords

DECOMPOSITION THEOREMSFIRST ENTRANCE TIMEINCREASING PROCESSMARTINGALESNATURAL σ-FIELDSPOTENTIALS

MSC classification

Primary: 60J25: Continuous-time Markov processes on general state spaces
Type
Part 6 Stochastic Processes
Information
Journal of Applied Probability , Volume 31 , Issue A , 1994 , pp. 363 - 371
Copyright
Copyright © Applied Probability Trust 1994 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1] Blumenthal, R.M. and Getoor, R.K. (1968) Markov Processes and Potential Theory. Academic Press, New York.Google Scholar
[2] Chung, K.L. (1967) Markov Chains with Stationary Transition Probabilities , 2nd edn. Springer-Verlag, New York.Google Scholar
[3] Chung, K.L. (1970) Lectures on Boundary Theory for Markov Chains. Princeton University Press.Google Scholar
[4] Chung, K.L. (1982) Lectures from Markov Processes to Brownian Motion . Springer-Verlag, New York.Google Scholar
[5] Dellacherie, C. and Meyer, P.A. (1978), (1982), (1988) Probabilities and Potentials. North-Holland, Amsterdam.Google Scholar
[6] Elliott, R.J. (1982) Stochastic Calculus and Applications. Springer-Verlag, New York.Google Scholar
[7] Metivier, M. (1982) Semimartingales. Walter de Gruyter, New York.Google Scholar
[8] Meyer, P.A. (1966) Probability and Potentials. Blaisdell, Waltham, MA.Google Scholar
[9] Syski, R. (1986) Introduction to Congestion Theory in Telephone Systems, 2nd edn. North-Holland, Amsterdam.Google Scholar
[10] Syski, R. (1992) Passage Times for Markov Chains. IOS Press, Amsterdam.Google Scholar
[11] Takács, L. (1967) Combinatorial Methods in the Theory of Stochastic Processes. Wiley, New York.Google Scholar