Countably many simultaneous random changes of time scales

DOI10.1016/0304-4149(84)90313-2MaRDI QIDQ790544zbMATH OpenOpenAlexFDO

Authors Lester L. Helms

Publication date 1984

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

Full work available at URL https://doi.org/10.1016/0304-4149(84)90313-2

zbMATH Keywords

Feller processesrandom changes of time scales

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on general state spaces (60J25)

Review text

In this work the author extends previous work by himself [Adv. Math. 12, 32-57 (1974; Zbl 0379.60096)] on the finite dimensional-time changes case to the countably-infinite-dimensional time changes problem. For that he constructs the relevant processes, \(\sigma\)-algebras and defines correspondingly the infinitely many components time changes. He then proves, when the components are Feller processes, that the time changed process has the strong Markov-property (theorems 11 and 12) and extends Dynkin's lemma (theorem 13), but only for a restricted class of functions, namely functions that are finite products of one-variable functions. Besides the applications of the finitely many dimensional case in the author's previous paper, the reader can also check with \textit{T. G. Kurtz}'s paper in Ann. Probab. 8, 682-715 (1980; Zbl 0442.60072).

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Cites work

• Ergodic properties of several interacting Poisson particles
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