Excursions of Markov Processes
Let {Xti t ~ O} be a Markov process in Rl, and break up the path X t into (random) component pieces consisting of the zero set ({ tlX = O}) and t the excursions away from 0, that is pieces of path X. : T ::5 s ::5 t, with Xr- = X = 0, but X. 1= 0 for T < s < t. When one measures the time in t the zero set appropriately (in terms of the local time) the excursions acquire a measure theoretic structure practically identical to that of processes with stationary independent increments, except the values of the process are paths rather than real numbers. And there is a measure on path space that helps describe the measure theoretic properties…
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Produktdetails
- ISBN: 978-1-4684-9412-9
- EAN: 9781468494129
- Produktnummer: 38233868
- Verlag: Birkhäuser Boston
- Sprache: Englisch
- Erscheinungsjahr: 2012
- Seitenangabe: 276 S.
- Plattform: PDF
- Auflage: 1992
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