Jumping Markov processes

zbMATH Open0841.60066MaRDI QIDQ1908227FDOQ1908227

Jean Jacod, Anatolii V. Skorokhod

Publication date: 20 March 1996

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1996__32_1_11_0

zbMATH Keywords

martingalesMarkov jump processesadditive functionalsinfinitesimal generator

Mathematics Subject Classification ID

Cited In (20)

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• Optimal dividend strategy for the dual model with surplus-dependent expense
• The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
• Regularity of models associated with Markov jump processes
• The argmin process of random walks, Brownian motion and Lévy processes
• Substochastic semigroups and densities of piecewise deterministic Markov processes
• A multiscale stochastic criminal behavior model under a hybrid scheme
• Dynamics of the time to the most recent common ancestor in a large branching population
• Stochastic billiards on general tables
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• Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
• Stopped processes of temporally homogeneous Markov jump processes
• Probabilistic representations of fragmentation equations
• Rayleigh processes, real trees, and root growth with re-grafting
• Semi-additive functionals of semi-Markov processes and measure-valued Poisson equation
• A multiscale stochastic criminal behavior model and the convergence to a piecewise-deterministic-Markov-process limit

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