Details

Autor(en) / Beteiligte

• Millar, P. W.

Titel

A Path Decomposition for Markov Processes

Ist Teil von

• The Annals of probability, 1978-04, Vol.6 (2), p.345-348

Ort / Verlag

Institute of Mathematical Statistics

Erscheinungsjahr

1978

Quelle

Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals

Beschreibungen/Notizen

• Let $X = \{X_t, t > 0\}$ be a right continuous strong Markov process with state space $E$; let $f$ be a continuous real valued function on $E \times E$; and let $M$ be the time at which the process $\{f(X_{t-}, X_t)\}$ achieves its (last) ultimate minimum. Then conditional on $X_M$ and the value of this minimum, the process $\{X_{M + t}\}$ is Markov and (conditionally) independent of events before $M$.