Electronic Journal of Probability

On time reversal of piecewise deterministic Markov processes

Andreas Löpker and Zbigniew Palmowski

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Abstract

We study the time reversal of a general Piecewise Deterministic Markov Process (PDMP). The time reversed process is defined as $X_{(T-t)-}$, where $T$ is some given time and $X_t$ is a stationary PDMP. We obtain the parameters of the reversed process, like the jump intensity and the jump measure.

Article information

Source
Electron. J. Probab. Volume 18 (2013), paper no. 13, 29 pp.

Dates
Accepted: 23 January 2013
First available in Project Euclid: 4 June 2016

Permanent link to this document
http://projecteuclid.org/euclid.ejp/1465064238

Digital Object Identifier
doi:10.1214/EJP.v18-1958

Mathematical Reviews number (MathSciNet)
MR3035741

Zentralblatt MATH identifier
1294.60099

Subjects
Primary: 60J25: Continuous-time Markov processes on general state spaces
Secondary: 60J27: Continuous-time Markov processes on discrete state spaces

Keywords
Piecewise Deterministic Markov Processes time reversal Stationary distribution

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Löpker, Andreas; Palmowski, Zbigniew. On time reversal of piecewise deterministic Markov processes. Electron. J. Probab. 18 (2013), paper no. 13, 29 pp. doi:10.1214/EJP.v18-1958. http://projecteuclid.org/euclid.ejp/1465064238.


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