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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}
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  • 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
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    Abstract page:157
    Full-text PDF :39
    References:43
     
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