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A Note on Stopped FeynmanKac Functionals of Markov Chains
Ferrandiz, Josep
HPL9280
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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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