Exit distributions for symmetric Markov processes via Gaussian techniques

DOI10.1016/0304-4149(92)90074-ZMaRDI QIDQ1201757zbMATH OpenFDO

Authors Raisa Epstein Feldman

Publication date 17 January 1993

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

Full work available at URL https://doi.org/10.1016/0304-4149(92)90074-Z

zbMATH Keywords

Gaussian processGreen's functionsymmetric Lévy processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25) Continuous-time Markov processes on general state spaces (60J25) Markov processes (60J99)

Review text

Let \(X_ u\), \(u\geq 0\), be a symmetric homogeneous right Markov process with state space \(T\subset{\mathbf R}\) and everywhere finite Green's function \(g(t,s)\). Let \(\Phi_ t\), \(t\in T\), be a Gaussian process whose parameter space is the state space of \(X\), with mean zero and covariance function \(g(t,s)\) [see \textit{E. B. Dynkin}, Bull. Am. Math. Soc., New Ser. 3, 975-999 (1980; Zbl 0519.60046)]. If \(\tau_ s\) denotes the first exit time from \(S^ c\) for the process \(X\) and \(\mu^ S_ t\) the corresponding exit distribution starting at \(t\), Dynkin showed that \[ E(\Phi_ t|\Phi_ s, s\in S)=\int\mu^ S_ t(ds)\Phi_ s. \] In this paper the author uses the above formula to compute the first exit distributions. This is done for processes with continuous paths and symmetric Lévy processes. In the latter case it is shown that the associated Gaussian process is stationary and by using Wiener's prediction theory the Fourier transform of \(\mu^ S_ t\) is obtained.

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Cites work

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Cited in

(2)

• Construction of the strong symmetry diffusion processes
• First exit distribution and path continuity of Hunt processes

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