Homogeneous random measures for Markov processes in weak duality: Study via an entrance boundary

H. Kaspi and J. B. Mitro

Stochastic Processes and their Applications, 1988, vol. 29, issue 2, 291-308

Abstract: For Markov processes in weak duality, we study time changes, decompositions of Revuz measure, and potentials of additive functionals which may charge [zeta], the lifetime of the process. The basic tools are a Ray-Knight (entrance) compactification, Dynkin's;theory of minimal excessive measures, and a process with random birth and death. In the last section, we work out an example of our techniques, involving entrance laws for one-dimensional diffusions.

Keywords: Markov; processes; time; change; additive; functionals; Revuz; measure; entrance; law; Ray-Knight; compactification; Riesz; decomposition; h-path; transform (search for similar items in EconPapers)
Date: 1988
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