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On entrance—exit distributions of Markov processes

Published online by Cambridge University Press:  14 July 2016

Cristina Gzyl  and
Henryk Gzyl
Cristina Gzyl
Affiliation:
Universidad Central de Venezuela
Henryk Gzyl
Affiliation:
Universidad Central de Venezuela
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Abstract

We use a result on integration by parts for stochastic integrals together with a technique developed by Getoor in [6], to express entrance—exit distributions for a standard process X, and a set Φ which is the support of a continuous additive functional C, in terms of the infinitesimal generators of semigroups associated with the time-changed process (Xτt), where (τt) is the right-continuous inverse of C.

Keywords

STANDARD PROCESSCONTINUOUS ADDITIVE FUNCTIONALMARKOV ADDITIVE PROCESSLÉVY SYSTEMINFINITESIMAL GENERATOR
Type
Research Papers
Information
Journal of Applied Probability , Volume 15 , Issue 1 , March 1978 , pp. 78 - 86
Copyright
Copyright © Applied Probability Trust 1978 

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References

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