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A Note on Stopped Feynman-Kac Functionals of Markov Chains

Ferrandiz, Josep

HPL-92-80

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Abstract: Consider two continuous additive functionals, A(.) and B(.), of a continuous time Markov chain on a discrete state space such that B(.) is absolutely continuous with respect to A(.). Let theta be the right continuous inverse of A(.). We derive the joint law of B(.) and the jumps between states of the chain stopped at theta and particularize the result to hitting times.

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