A path decomposition for Markov processes

DOI10.1214/aop/1176995581zbMath0379.60070OpenAlexW2155861640MaRDI QIDQ1247116

P. W. Millar

Publication date: 1978

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176995581

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Right processes (60J40)

Related Items

Path decompositions for Markov chains., Scalar conservation laws with white noise initial data, Growth of the Brownian forest, Gravitational clustering and additive coalescence, Greedy Search on the Binary Tree with Random Edge-Weights, Statistical properties of shocks in Burgers turbulence, Some harmonic functions for killed Markov branching processes with immigration and culling, The argmin process of random walks, Brownian motion and Lévy processes, Exceptional times when the KPZ fixed point violates Johansson's conjecture on maximizer uniqueness, Lévy processes conditioned to stay in a half-space with applications to directional extremes, Enlargements of filtrations and path decompositions at non stopping times, Lipschitz minorants of Brownian motion and Lévy processes, An effective method for the explicit solution of sequential problems on the real line, Birth times, death times and time substitutions in Markov chains, Exact and asymptotic \(n\)-tuple laws at first and last passage, Conditioning a reflected one-dimensional diffusion via its canonical decomposition, Patterns in Random Walks and Brownian Motion, Time and place of the maximum for one-dimensional diffusion bridges and meanders, Intrinsically homogeneous sets, splitting times, and the big shift, Splitting times and shift functionals, On a fluctuation identity for multidimensional Lévy processes, Excursions away from the Lipschitz minorant of a Lévy process, Factorization Identities for Reflected Processes, with Applications, On the convex hull of a Brownian excursion with parabolic drift.