Conditional laws of Markov excursions

DOI10.1007/BFB0084319MaRDI QIDQ4028974zbMATH OpenFDO

Authors Hacène Boutabia, Bernard Maisonneuve

Publication date 28 March 1993

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=SPS_1992__26__162_0, https://eudml.org/doc/113793

zbMATH Keywords

conditioning is with respect to the position of the processduration of the excursionexcursionrandom time

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Probabilistic potential theory (60J45) Boundary theory for Markov processes (60J50)

Review text

[For the entire collection see Zbl 0754.00008.] Extending work of Getoor and Sharpe, the authors show how Maisonneuve exit systems and a simple conditioning argument can be used to find the conditional distribution of the excursion of a Markov process (from a closed homogeneous optional set \(M\)) that straddles a given random time \(T\). The conditioning is with respect to the position of the process at the ends of the excursion and the duration of the excursion. In the principal result, \(T\) is a stopping time of the right-continuous regularization of the filtration \({\mathcal F}_{G(t)}\), where \(({\mathcal F}_ t)\) is the natural filtration of the process and \(G(t)=\sup\{s\leq t\): \(s\in M\}\). The case where \(T\) is a terminal time is also discussed, as is a variant formula in which one conditions on the left-limit of the process at the right end of the excursion.

Cited in

(12)

• On the Itô excursion process
• Divergent sums over excursions
• Additive functionals and excursions of Kuznetsov processes
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• On the lengths of excursions of some Markov processes
• scientific article; zbMATH DE number 2104051 (Why is no real title available?)
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• A decomposition for Markov processes at an independent exponential time

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