Toward a stochastic calculus for several Markov processes

DOI10.1016/0196-8858(83)90007-6zbMath0519.60077OpenAlexW1970496130MaRDI QIDQ1054387

Robert J. Vanderbei

Publication date: 1983

Published in: Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0196-8858(83)90007-6

zbMATH Keywords

Dirichlet problemharmonic functionsrandom time changeMarkov random fields

Mathematics Subject Classification ID

Random fields (60G60) Probabilistic potential theory (60J45)

Related Items (5)

Stochastic Waves ⋮ Harmonic functions associated with several Markov processes ⋮ Two parameter optimal stopping and bi-Markov processes ⋮ Optimal stopping and supermartingales over partially ordered sets ⋮ Discrete time multi-parameter optimal stopping problems with multiple plays and switching costs

Cites Work

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• Partial differential equations. 3rd ed
• Harmonic functions associated with several Markov processes
• Probability and a Dirichlet problem for multiply superharmonic functions
• Stochastic Waves

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