Conditional Levy processes

被引：0

作者：

Çinlar, E ^{[1
]}

机构：

[1] Princeton Univ, Dept Oper Res & Financial Engn, Princeton, NJ 08544 USA

来源：

COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2003年 / 46卷 / 07期

关键词：

Levy processes; Cox processes; Markov additive processes; entrance-exit distributions; level crossings; reliability;

D O I：

10.1016/S0898-1221(03)90113-1

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

These are processes A whose conditional laws, given some driving process X, are those of a process with independent increments. The treatment is limited to such increasing processes A, without assumptions on the law of X. Considering the time T of crossing some fixed threshold value by A, we derive the joint distribution of the state of X at time T, the left-limit of A at T, and the right-limit of A at T. The motivation comes from reliability theory as well as certain problems in the theory of Brownian motion. (C) 2003 Elsevier Ltd. All rights reserved.

引用

页码：993 / 997

页数：5