Some joint distributions for Markov process

MaRDI QIDQ674671zbMATH OpenFDO

Authors Zikun Wang

Publication date 12 October 1997

Published in Chinese Science Bulletin (Search for Journal in Brave)

zbMATH Keywords

Brownian motionco-optional timestopping timesymmetric stable processes

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Brownian motion (60J65)

Review text

We study the joint distributions of four random variables \(h(\omega)\) (stopping time or optional time), location \(x(h)\), \(l(\omega)\) (co-optional time) and location \(x(l)\) for Markov processes. Some distributions for \(d(\geq 3)\)-dimensional Brownian motion and the joint distribution of first exit and last exit locations for symmetric stable processes are found.

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Cited in

(4)

• Joint density of hitting time and point to an ellipse for Brownian motion
• Some Markov processes with Brownian exit distributions
• Moments and distributions of the last exit times for a class of Markov processes
• The joint distribution of the running maximum and its location of D-valued Markov processes

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