A simple condition sufficient to ensure that a function of a time-homogeneous Markov process is again a time-homogeneous Markov process is proved. This result is then used to study a number of diffusions; in particular, an extension of a result of Pitman is proved, from which it is possible easily to deduce the path decompositions of Williams.
Publié le : 1981-08-14
Classification:
Brownian motion,
Bessel process,
function of a Markov process,
Markov kernel,
transition semigroup,
60J25,
60J35,
60J65,
60J60
@article{1176994363,
author = {Rogers, L. C. G. and Pitman, J. W.},
title = {Markov Functions},
journal = {Ann. Probab.},
volume = {9},
number = {6},
year = {1981},
pages = { 573-582},
language = {en},
url = {http://dml.mathdoc.fr/item/1176994363}
}
Rogers, L. C. G.; Pitman, J. W. Markov Functions. Ann. Probab., Tome 9 (1981) no. 6, pp. 573-582. http://gdmltest.u-ga.fr/item/1176994363/