Killing a Markov process under a stationary measure involves creation
Given a Borel right Markov process X and an excessive measure m, one can construct a stationary measure \(Q_ m\) on the space of ``two-sided paths (with random birth and death in (-\(\infty,\infty))\), governing a process with the same transition mechanism as X. \(Q_ m\) is called the Kuznetsov measure associated to m and X. If the transitions of X are transformed via a multiplicative functional M (the process is ``killed), the same technique applied to the new (killed) transition semigroup together with m yields a corresponding Kuznetsov measure \(Q^*.\) The goal of this paper is to construct \(Q^*\) directly from \(Q_ m\) using certain functionals arising from M. The title reflects the fact that both the birth and death mechanisms of the Kuznetsov process governed by \(Q_ m\) are affected by this procedure.
- Excessive measures and Markov processes with random birth and death
- Energy functionals and killing transform
- Risk sensitive optimal stopping
- Additive functionals and excursions of Kuznetsov processes
- Lévy Systems and Time Changes
- Homogeneous Random Measures and a Weak Order for the Excessive Measures of a Markov Process
- scientific article; zbMATH DE number 140572 (Why is no real title available?)
- Birth and death of a stationary Markov process
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