The Annals of Probability

The Equivalence of Absorbing and Reflecting Barrier Problems for Stochastically Monotone Markov Processes

D. Siegmund

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Abstract

The equivalence between absorbing and reflecting barrier problems for random walks is shown to hold for stochastically monotone Markov processes. For Markov chains in continuous time this relation is expressed directly in terms of the $Q$-matrices of the chains. Some examples are given.

Article information

Source
Ann. Probab., Volume 4, Number 6 (1976), 914-924.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176995936

Digital Object Identifier
doi:10.1214/aop/1176995936

Mathematical Reviews number (MathSciNet)
MR431386

Zentralblatt MATH identifier
0364.60109

JSTOR
links.jstor.org

Subjects
Primary: 60J25: Continuous-time Markov processes on general state spaces
Secondary: 60J75: Jump processes

Keywords
Markov chain absorbing boundary reflecting boundary stochastically monotone

Citation

Siegmund, D. The Equivalence of Absorbing and Reflecting Barrier Problems for Stochastically Monotone Markov Processes. Ann. Probab. 4 (1976), no. 6, 914--924. doi:10.1214/aop/1176995936. https://projecteuclid.org/euclid.aop/1176995936


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