Homogeneity and the Strong Markov Property
Kallenberg, Olav
Ann. Probab., Tome 15 (1987) no. 4, p. 213-240 / Harvested from Project Euclid
The strong Markov property of a process $X$ at a stopping time $\tau$ may be split into a conditional independence part (CI) and a homogeneity part (H). However, it turns out that (H) often implies at least some version of (CI). In the present paper, we shall assume that (H) holds on the set $\{X_\tau \in B\}$, for all stopping times $\tau$ such that $X_\tau \in F$ a.s., where $F$ is a closed recurrent subset of the state space $S$, while $B \subset F$. If $F = S$, then (CI) will hold on $\{X_\tau \in B\}$ for every stopping time $\tau$, so in this case $X$ is regenerative in $B$. In the general case, the same statement is conditionally true in a suitable sense, given some shift invariant $\sigma$-field.
Publié le : 1987-01-14
Classification:  Stopping times,  conditional independence,  regeneration,  recurrence,  invariant $\sigma$-fields,  exchangeable sequences,  60J25,  60G40
@article{1176992265,
     author = {Kallenberg, Olav},
     title = {Homogeneity and the Strong Markov Property},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 213-240},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992265}
}
Kallenberg, Olav. Homogeneity and the Strong Markov Property. Ann. Probab., Tome 15 (1987) no. 4, pp.  213-240. http://gdmltest.u-ga.fr/item/1176992265/