scientific article; zbMATH DE number 193631

MaRDI QIDQ4040434zbMATH OpenFDO

Authors Michael J. Sharpe

Publication date 5 June 1993

zbMATH Keywords

additive functionalsrandom measuresexcursion theoryright processesLévy systemstechniques of Ray compactification

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Continuous-time Markov processes on general state spaces (60J25) Right processes (60J40) Probabilistic potential theory (60J45)

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• Transformation of symmetric multiplicative functionals
• On pricing rules and optimal strategies in general Kyle-Back models
• An Optimal Stopping Problem Arising from a Decision Model with Many Agents
• Some variational formulas on additive functionals of symmetric Markov chains
• Revuz measures under time change
• Measures not charging semipolars and equations of Schrödinger type
• Traces of symmetric Markov processes and their characterizations
• Revuz measures and time changes
• From resolvents to càdlàg processes through compact excessive functions and applications to singular SDE on Hilbert spaces
• Right Markov processes and systems of semilinear equations with measure data
• The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck
• New perspectives on Ray's theorem for the local times of diffusions
• Semimartingales and Markov processes
• Markov Systems in a General State Space
• Weak solutions of backward stochastic differential equations with continuous generator
• A formula on scattering length of positive smooth measures
• On a representation of additive functionals of zero quadratic variation
• On the rôle of singular functions in extending the probabilistic symbol to its most general class
• The uniqueness of symmetrizing measure of Markov processes
• Pinching and twisting Markov processes
• Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
• Linear additive functionals of superdiffusions and related nonlinear P.D.E.
• Branching measure-valued processes
• Speeding up the Euler scheme for killed diffusions
• Measure-valued branching diffusions with spatial interactions
• Superposition operators on Dirichlet spaces
• On strong Markov property for Fleming-Viot processes
• Global solutions to stochastic reaction-diffusion equations with super-linear drift and multiplicative noise
• BSDE and generalized Dirichlet forms: the finite-dimensional case
• Potentials of stable processes
• Analytic characterizations of gaugeability for generalized Feynman-Kac functionals
• Recurrent extensions of self-similar Markov processes and Cramér's condition
• Local property of Dirichlet forms and diffusions on general state spaces
• Potential theory of moderate Markov dual processes
• Multiplicative functionals of Lévy processes
• Measure-valued branching processes associated with Neumann nonlinear semiflows
• Threshold dynamics and ergodicity of an SIRS epidemic model with Markovian switching
• A linear exponential comonad in s-finite transition kernels and probabilistic coherent spaces
• Path transformations for local times of one-dimensional diffusions
• Gaugeability and conditional gaugeability
• Path continuity of Markov processes and locality of Kolmogorov operators
• Regular Transition Functions and Regular Superprocesses
• A weak quasi-Lindelöf property and quasi-fine supports of measures
• Properties of switching jump diffusions: maximum principles and Harnack inequalities
• Irreducible recurrence, ergodicity, and extremality of invariant measures for resolvents
• A complete characterization of local martingales which are functions of Brownian motion and its maximum
• Strong Feller semigroups and Markov processes: a counterexample
• Large deviations of Jackson networks.
• L Log L Criterion for a Class of Superdiffusions
• Riesz Decompositions in Markov Process Theory
• Markov process functionals in finance and insurance
• ON GIRSANOV AND GENERALIZED FEYNMAN–KAC TRANSFORMATIONS FOR SYMMETRIC MARKOV PROCESSES
• A multiclass closed queueing network with unconventional heavy traffic behavior
• Time changes of symmetric diffusions and Feller measures
• Construction of right processes from excursions
• Stochastic equation of fragmentation and branching processes related to avalanches
• Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
• On subharmonicity for symmetric Markov processes
• Continuous-state branching processes in Lévy random environments
• Diffusion transformations, Black-Scholes equation and optimal stopping
• Efficient Markovian couplings: Examples and counterexamples.
• Nonlinear PDEs and measure-valued branching type processes
• Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups
• Applications of compact superharmonic functions: path regularity and tightness of capacities
• Loop measures without transition probabilities
• On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators
• Perturbation by non-local operators
• Geometric ergodicity of the multivariate COGARCH(1,1) process
• Markov Processes, Brownian Motion, and Time Symmetry
• Characterizations of Radon spaces
• The weighted transience and recurrence of Markov processes
• Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
• Totally ordered measured trees and splitting trees with infinite variation
• Diffusions on a space of interval partitions: the two-parameter model
• Strongly supermedian kernels and Revuz measures
• The fractional Laplacian with reflections
• Optimal and near-optimal \((s,S)\) inventory policies for Levy demand processes
• A representation of local time for Lipschitz surfaces
• Null flows, positive flows and the structure of stationary symmetric stable processes
• Commutative semantics for probabilistic programming
• On subordination of resolvents and application to right processes
• A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems
• Bivariate Revuz measures and the Feynman-Kac formula on semi-Dirichlet forms
• The use of Markov operators to constructing generalised probabilities
• Dirichlet heat kernel estimates for fractional Laplacian with gradient perturbation
• Measure-valued flows given consistent exchangeable families
• Stochastic solutions to evolution equations of non-local branching processes
• Estimates on the transition densities of Girsanov transforms of symmetric stable processes
• Nonzero-sum games of optimal stopping for Markov processes
• Probabilistic approach to the Dirichlet problem of perturbed stable processes
• Regeneration-enriched Markov processes with application to Monte Carlo
• Stochastic calculus over symmetric Markov processes with time reversal
• Stochastic traveling wave solution to a stochastic KPP equation
• Approximation of Hunt processes by multivariate Poisson processes
• Construction and regularity of measure-valued Markov branching processes
• Stability of Dirichlet heat kernel estimates for non-local operators under Feynman-Kac perturbation

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