BIRTH-DEATH CHAINS AND THE LOCAL TIME OF BROWNIAN MOTION

被引：1

作者：

Markowsky, Greg ^{[1
]}

机构：

[1] Monash Univ, Dept Math Sci, Clayton, Vic 3800, Australia

来源：

BULLETIN OF THE AUSTRALIAN MATHEMATICAL SOCIETY | 2012年 / 85卷 / 03期

基金：

澳大利亚研究理事会;

关键词：

birth-death chain; Markov chain; Brownian motion; local time;

D O I：

10.1017/S000497271100284X

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

A connection between Brownian motion and birth-death chains is explored. Several results concerning birth death chains are shown to be consequences of well-known results on Brownian motion.

引用

页码：497 / 504

页数：8

共 6 条

[1]

Ahlfors L.V., 1979, Complex Analysis: An Introduction to the Theory of Analytic Functions of One Complex Variable

[2]

Kallenberg O., 2002, Foundations of modern probability

[3]

Klebaner F.C., 2005, Introduction to Stochastic Calculus with Applications, V2

[4]

Marcus M. B., 2006, CAMBRIDGE STUD ADV M, V100

[5] Applying Brownian motion to the study of birth-death chains [J].

Markowsky, Greg .

STATISTICS & PROBABILITY LETTERS, 2011, 81 (08) :1173-1178

[6]

Revuz D., 1999, CONTINUOUS MARTINGAL

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