Zapiski Nauchnykh Seminarov POMI
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Zap. Nauchn. Sem. POMI:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Zapiski Nauchnykh Seminarov POMI, 2013, Volume 420, Pages 157–174 (Mi znsl5733)  

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
Full-text PDF (280 kB) Citations (1)
References:
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
English version:
Journal of Mathematical Sciences (New York), 2015, Volume 206, Issue 2, Pages 217–229
DOI: https://doi.org/10.1007/s10958-015-2306-8
Bibliographic databases:
Document Type: Article
UDC: 519.217.62
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Har13}
\by B.~P.~Harlamov
\paper Preserving of Markovness whilst delayed reflection
\inbook Probability and statistics. Part~20
\serial Zap. Nauchn. Sem. POMI
\yr 2013
\vol 420
\pages 157--174
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl5733}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2015
\vol 206
\issue 2
\pages 217--229
\crossref{https://doi.org/10.1007/s10958-015-2306-8}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84953347669}
Linking options:
  • https://www.mathnet.ru/eng/znsl5733
  • https://www.mathnet.ru/eng/znsl/v420/p157
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Записки научных семинаров ПОМИ
    Statistics & downloads:
    Abstract page:162
    Full-text PDF :39
    References:44
     
      Contact us:
     Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024