NDLI: Stochastic Waves

Content Provider	Scilit
Author	Dynkin, E. B. Vanderbei, R. J.
Copyright Year	1983
Description	Let $\phi$ be a real valued function defined on the state space of a Markov process ${x_t}$. Let ${\tau _t}$ be the first time ${x_t}$ gets to a level set of $\phi$ which is $t$ units higher than the one on which it started. We call the time changed process $\tilde {x}_{t} = x_{{\tau _t}}$ a stochastic wave. We give conditions under which this process is Markovian and we evaluate its infinitesimal operator.
Related Links	https://www.ams.org/tran/1983-275-02/S0002-9947-1983-0682731-6/S0002-9947-1983-0682731-6.pdf
Ending Page	779
Page Count	9
Starting Page	771
ISSN	00029947
e-ISSN	10886850
DOI	10.2307/1999052
Journal	Transactions of the American Mathematical Society
Issue Number	2
Volume Number	275
Language	English
Publisher	Duke University Press
Publisher Date	1983-02-01
Access Restriction	Open
Subject Keyword	Mathematics Mathematical Physics Function Waves Phi Stochastic Markovian Tilde Give Infinitesimal X_t
Content Type	Text
Resource Type	Article
Subject	Applied Mathematics

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Stochastic Waves