Let ϕ be a real valued function defined on the state space of a Markov process xt Let זt be the first time xt, gets to a level set of ø which is ϕ units higher than the one on which it started. We call the time changed process (formula presented) a stochastic wave. We give conditions under which this process is Markovian and we evaluate its infinitesimal operator.
All Science Journal Classification (ASJC) codes
- Applied Mathematics