A note on discontinuous time changes of Markov processes

DOI10.1016/0304-4149(86)90049-9MaRDI QIDQ1084764zbMATH OpenOpenAlexFDO

Authors Joanna B. Mitro

Publication date 1986

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(86)90049-9

zbMATH Keywords

additive functionalright process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)

Review text

In this note the author proves that changing a strong Markov process with respect to a discontinuous, perfect, additive functional yields a right process. For that she proceeds step-wise on an enlarged state space. First she timechanges with respect to a strictly increasing additive functional obtaining again a strong Markov process and the second step consists on time changing this intermediate process with respect to an appropriate continuous additive functional of the intermediate process, and then she shows that the combined procedure yields the desired object and has the right properties.

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• A discontinuous time change for natural additive functionals which preserves duality
• Changements de temps de processus de markov
• Discontinuous time changes of semiregenerative processes and balayage theorems
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