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Zapiski Nauchnykh Seminarov LOMI, 1983, Volume 130, Pages 109–121
(Mi znsl4339)
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This article is cited in 3 scientific papers (total in 3 papers)
The method of stratification for processes with independent increments
M. A. Lifshits
Abstract:
Let $X(s)=\gamma(s)+W(\sigma(s))+\int_{-\infty}^\infty\int_0^s\ae\Pi(d\ae, ds)$ be a process with independent increments, where $\Pi$ is a Poisson measure, $W$ – Wiener process. The quasiinvariant transformations
$$
G_cX(s)=\gamma(s)+W(\sigma(s))+\int_{-\infty}^\infty\int_0^sg(c, \ae, t)\Pi(d\ae, ds)
$$
with suitable kernel $g$ form a one-parametric semigroup. Partition of probabilistic functional space into one-dimensional orbits of semigroup $G$ is considered. Conditional distributions and distributions of some functionals are calculated.
Citation:
M. A. Lifshits, “The method of stratification for processes with independent increments”, Problems of the theory of probability distributions. Part VIII, Zap. Nauchn. Sem. LOMI, 130, "Nauka", Leningrad. Otdel., Leningrad, 1983, 109–121
Linking options:
https://www.mathnet.ru/eng/znsl4339 https://www.mathnet.ru/eng/znsl/v130/p109
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Abstract page: | 137 | Full-text PDF : | 34 |
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