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February, 1981 Raw Time Changes of Markov Processes
Joseph Glover
Ann. Probab. 9(1): 90-102 (February, 1981). DOI: 10.1214/aop/1176994510


Let $A_t$ be a nonadapted continuous additive functional of a right continuous strong Markov process $X_t$, and let $\tau_t$ denote the right continuous inverse of $A_t$. We give general sufficient conditions for the time-changed process $X_{\tau_t}$ to again be a strong Markov process with a new transition semigroup. We give several examples and show that birthing a process at a last exit time and killing a process at a cooptional time may be realized as raw time changes.


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Joseph Glover. "Raw Time Changes of Markov Processes." Ann. Probab. 9 (1) 90 - 102, February, 1981.


Published: February, 1981
First available in Project Euclid: 19 April 2007

zbMATH: 0453.60069
MathSciNet: MR606799
Digital Object Identifier: 10.1214/aop/1176994510

Primary: 60J25
Secondary: 60G17

Keywords: continuous additive functional , cooptional time , excursion , last exit time , Markov process , Time change

Rights: Copyright © 1981 Institute of Mathematical Statistics

Vol.9 • No. 1 • February, 1981
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