Random time changes for processes with random birth and death

DOI10.1214/AOP/1176991774MaRDI QIDQ1106557zbMATH OpenOpenAlexFDO

Authors Haya Kaspi

Publication date 1988

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176991774

zbMATH Keywords

random birth and death timesrandom time-changestationarity properties

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Probabilistic potential theory (60J45) Boundary theory for Markov processes (60J50) Local time and additive functionals (60J55)

Review text

A random time-change for a stationary Markov process with random birth and death times is studied. A diffusive homogeneous random measure B is used to construct the time change clock preserving the Markovian and stationarity properties. Properties of the characteristic measure \(\nu_ B\) of B related to the time-changed semigroup are investigated. The simplest case, when \(B(dt)=g(Y_ t)dt\) with g strictly positive, is discussed in detail and applications to the entrance boundary and capacity theory are sketched.

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(11)

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• Revuz measures and time changes
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