A note on discontinuous time changes of Markov processes

Joanna B. Mitro

Stochastic Processes and their Applications, 1986, vol. 23, issue 2, 343-348

Abstract: The "time change" of a Markov process via the inverse of a discontinuous additive functional At can be accomplished in two steps. First, perform a time change via the inverse of the strictly increasing discontinuous additive functional obtained by replacing the continuous part of At by t. The second step is an ordinary time change via the inverse of a continuous additive functional. Decomposing the time change in this way is useful in studying the time changed process.

Keywords: time; changes; of; Markov; processes; additive; functionals; right; processes (search for similar items in EconPapers)
Date: 1986
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