Conditional laws of Markov excursions (Q4028974)

[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.