Markov process jump times and their Cox construction

被引：0

作者：

Protter, Philip ^{[1
]}

Valdevenito, Andres Riveros ^{[2
]}

机构：

[1] Columbia Univ, Supported Part NSF Grant, DMS 2106433, New York, NY 10027 USA

[2] Columbia Univ, Dept Stat, New York, NY USA

来源：

ANNALS OF OPERATIONS RESEARCH | 2024年

关键词：

Totally inaccessible stopping times; Feller processes; Cox construction; Compensators; GENERAL-THEORY;

D O I：

10.1007/s10479-024-06313-w

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this short paper, we connect the procedure of constructing a totally inaccessible stopping time for a given process using the well-known Cox construction, dependent on an independent exponential random variable; with naturally occurring jump times of Feller processes. Ultimately, we show that these two phenomena are not only related, but are in fact two examples of the same object. We link this fact to the behaviour of predictable stopping times, by proving that they can always be written as the hitting time of zero of a continuous process.

引用

页数：11

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