MARKOV PROCESSES CONDITIONED ON THEIR LOCATION AT LARGE EXPONENTIAL TIMES

Autor: Alexandru Hening, Steven N. Evans

Publikováno v: Stochastic processes and their applications, vol 129, iss 5
Evans, SN; & Hening, A. (2018). Markov processes conditioned on their location at large exponential times. Stochastic Processes and their Applications. doi: 10.1016/j.spa.2018.05.013. UC Berkeley: Retrieved from: http://www.escholarship.org/uc/item/5s93h4v3
Stoch Process Their Appl

Suppose that $(X_t)_{t \ge 0}$ is a one-dimensional Brownian motion with negative drift $-\mu$. It is possible to make sense of conditioning this process to be in the state $0$ at an independent exponential random time and if we kill the conditioned

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https://escholarship.org/uc/item/5s93h4v3