Stochastic waves1

E. B. Dynkin, R. J. Vanderbei

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)771-779
Number of pages9
JournalTransactions of the American Mathematical Society
Issue number2
StatePublished - Feb 1983
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Mathematics(all)
  • Applied Mathematics


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