Penalization for birth and death processes

DOI10.1007/s10959-007-0123-9zbMath1149.60056OpenAlexW2071848896MaRDI QIDQ939126

Pierre Debs, Mihai Gradinaru

Publication date: 21 August 2008

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

Full work available at URL: https://doi.org/10.1007/s10959-007-0123-9

zbMATH Keywords

Brownian motion with driftRandom walkDynkin's formulaSojourn timePenalizationBessel chain and processBirth and death Markov processesChange of probability

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Martingales and classical analysis (60G46) Local time and additive functionals (60J55)

Cites Work

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• A Discrete Bessel Process and Its Properties
• Markov Chains

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