Stochastic Duality of Markov Processes: A Study Via Generatorsстатья
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Web of Science ,
Scopus
Статья опубликована в журнале из списка Web of Science и/или Scopus
Дата последнего поиска статьи во внешних источниках: 27 октября 2021 г.
Авторы:
Kolokoltsov V. ,
Lee R.X.
Журнал:
Stochastic Analysis and Applications
Том:
31
Номер:
6
Год издания:
2013
Издательство:
Marcel Dekker Inc.
Местоположение издательства:
United States
Первая страница:
992
Последняя страница:
1023
DOI:
10.1080/07362994.2013.827098
Аннотация:
The article is devoted to a study of the duality of processes in the sense that for a certain f. This classical topic has well known applications in interacting particles, intertwining, superprocesses, stochastic monotonicity, exit - entrance laws, ruin probabilities in finances, etc. Aiming mostly at the case of f depending on the difference of its arguments, we develop a systematic approach to duality via the analysis of the generators of dual Markov processes and illustrate this approach by various examples, in particular, by giving a full characterization of duality arising from Pareto order in R d. © 2013 Taylor and Francis Group, LLC.
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