Killing a Markov process under a stationary measure involves creation (Q1106560): Difference between revisions
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Latest revision as of 22:54, 19 March 2024
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English | Killing a Markov process under a stationary measure involves creation |
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Killing a Markov process under a stationary measure involves creation (English)
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1988
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Given a Borel right Markov process X and an excessive measure m, one can construct a stationary measure \(Q_ m\) on the space of ``two-sided paths'' (with random birth and death in (-\(\infty,\infty))\), governing a process with the same transition mechanism as X. \(Q_ m\) is called the Kuznetsov measure associated to m and X. If the transitions of X are transformed via a multiplicative functional M (the process is ``killed''), the same technique applied to the new (killed) transition semigroup together with m yields a corresponding Kuznetsov measure \(Q^*.\) The goal of this paper is to construct \(Q^*\) directly from \(Q_ m\) using certain functionals arising from M. The title reflects the fact that both the birth and death mechanisms of the Kuznetsov process governed by \(Q_ m\) are affected by this procedure.
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multiplicative functional
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stationary measure
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killing
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Markov process
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Kuznetsov measure
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