Unifying the Dynkin and Lebesgue–Stieltjes formulae

DOI10.1017/jpr.2016.98zbMath1400.60059arXiv1308.5795OpenAlexW2964072178MaRDI QIDQ4684851

Offer Kella, Marc Yor

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.5795

zbMATH Keywords

Markov processlocal martingalejump diffusionLévy systemDynkin's formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes ⋮ Martingales associated with functions of Markov and finite variation processes ⋮ Lowest priority waiting time distribution in an accumulating priority Lévy queue

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