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Teoriya Veroyatnostei i ee Primeneniya, 1961, Volume 6, Issue 1, Pages 47–56
(Mi tvp4747)
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This article is cited in 4 scientific papers (total in 4 papers)
Construction of Non-Homogeneous Markov Processes by Means of a Random Substitution of Time
V. A. Volkonskii Moscow
Abstract:
It is proved that a continuous single-dimensional Markov process $y(t)$ with wide restrictions can be obtained from the Wiener process $x(t)$ in the following form: $y(t)=\psi[x(\tau_t),t]$, where $\psi(x,t)$ is a continuous function, monotonic in $x$ for a given $t$, and $\tau _t $ is a non-decreasing random function of $t$ (Theorem 1).
Conditions are given which should be met by the Markov process $x(t)$ in abstract space and the random function $\tau_t$ so that the process $y(t)=x(\tau_t)$ will also be a Markov process (Theorem 2).
Received: 05.10.1958
Citation:
V. A. Volkonskii, “Construction of Non-Homogeneous Markov Processes by Means of a Random Substitution of Time”, Teor. Veroyatnost. i Primenen., 6:1 (1961), 47–56; Theory Probab. Appl., 6:1 (1961), 42–51
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