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Zapiski Nauchnykh Seminarov POMI, 2013, Volume 420, Pages 157–174
(Mi znsl5733)
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This article is cited in 1 scientific paper (total in 1 paper)
Preserving of Markovness whilst delayed reflection
B. P. Harlamov Institute of Problems of Mechanical Engineering, Russian Academy of Sciences, St. Petersburg, Russia
Abstract:
A one-dimensional locally-Markov diffusion process with positive range of values is considered. This process is assumed to be reflected from the point 0. All variants of reflection preserving the semi-Markov property are described. The reflected process prolongs to be locally-Markov in open intervals, but it can loose the global Markov property. The reflection is characterized by $\alpha(r)$ which is the first exit time from semi-interval $[0,r)$ after the first hitting time at 0 (for any $r>0$). A distribution of this time-interval is used for deriving a time change a process with instantaneous reflection into a process with delayed reflection. A process which preserves its markovness after the delayed reflection is proved to have a special distribution of the set of time points when the process has zero meaning during the time $\alpha(r)$. This discontinuum set has exponentially distributed Lebesgue measure.
Key words and phrases:
diffusion, Markov, continuous semi-Markov, reflection, delay, first exit time, transition function, Laplace transformation, time change, discontinuum.
Received: 22.10.2013
Citation:
B. P. Harlamov, “Preserving of Markovness whilst delayed reflection”, Probability and statistics. Part 20, Zap. Nauchn. Sem. POMI, 420, POMI, St. Petersburg, 2013, 157–174; J. Math. Sci. (N. Y.), 206:2 (2015), 217–229
Linking options:
https://www.mathnet.ru/eng/znsl5733 https://www.mathnet.ru/eng/znsl/v420/p157
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Abstract page: | 162 | Full-text PDF : | 39 | References: | 44 |
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