A note on the jump locations of Markov processes

Autor:	Wang, Andi Q., Steinsaltz, David
Rok vydání:	2019
Předmět:	Mathematics - Probability 60J25 (primary) 60J35 60J75 (secondary)
Druh dokumentu:	Working Paper
Popis:	For a continuous-time Markov process, we characterize the law of the first jump location when started from an arbitrary initial distribution, in terms of the invariant distribution of an auxiliary Markov process. This could be of interest in the burgeoning fields of piecewise-deterministic Markov chain Monte Carlo methods and quasi-stationary Monte Carlo methods. Comment: v2: 12 pages, major revision; results now couched in terms of killing operators
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1901.07321 Zobrazit plný text záznamu View this record from Arxiv