Let $A_t$ be a nonadapted continuous additive functional of a right continuous strong Markov process $X_t$, and let $\tau_t$ denote the right continuous inverse of $A_t$. We give general sufficient conditions for the time-changed process $X_{\tau_t}$ to again be a strong Markov process with a new transition semigroup. We give several examples and show that birthing a process at a last exit time and killing a process at a cooptional time may be realized as raw time changes.
Publié le : 1981-02-14
Classification:
Markov process,
continuous additive functional,
time change,
cooptional time,
last exit time,
excursion,
60J25,
60G17
@article{1176994510,
author = {Glover, Joseph},
title = {Raw Time Changes of Markov Processes},
journal = {Ann. Probab.},
volume = {9},
number = {6},
year = {1981},
pages = { 90-102},
language = {en},
url = {http://dml.mathdoc.fr/item/1176994510}
}
Glover, Joseph. Raw Time Changes of Markov Processes. Ann. Probab., Tome 9 (1981) no. 6, pp. 90-102. http://gdmltest.u-ga.fr/item/1176994510/