Stochastic waves1

E. B. Dynkin; R. J. Vanderbei

doi:10.1090/S0002-9947-1983-0682731-6

Stochastic waves¹

E. B. Dynkin, R. J. Vanderbei

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

Let ϕ be a real valued function defined on the state space of a Markov process x_t Let ז_t be the first time x_t, 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 language	English (US)
Pages (from-to)	771-779
Number of pages	9
Journal	Transactions of the American Mathematical Society
Volume	275
Issue number	2
DOIs	https://doi.org/10.1090/S0002-9947-1983-0682731-6
State	Published - Feb 1983
Externally published	Yes

All Science Journal Classification (ASJC) codes

General Mathematics
Applied Mathematics

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10.1090/S0002-9947-1983-0682731-6

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title = "Stochastic waves1",

abstract = "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 {\o} 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.",

author = "Dynkin, {E. B.} and Vanderbei, {R. J.}",

year = "1983",

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journal = "Transactions of the American Mathematical Society",

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AU - Dynkin, E. B.

AU - Vanderbei, R. J.

PY - 1983/2

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N2 - 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.

AB - 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.

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DO - 10.1090/S0002-9947-1983-0682731-6

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JO - Transactions of the American Mathematical Society

JF - Transactions of the American Mathematical Society

IS - 2

ER -

Stochastic waves¹

Abstract

All Science Journal Classification (ASJC) codes

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