The Annals of Probability

Raw Time Changes of Markov Processes

Joseph Glover

Abstract

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.

Article information

Source
Ann. Probab., Volume 9, Number 1 (1981), 90-102.

Dates
First available in Project Euclid: 19 April 2007

https://projecteuclid.org/euclid.aop/1176994510

Digital Object Identifier
doi:10.1214/aop/1176994510

Mathematical Reviews number (MathSciNet)
MR606799

Zentralblatt MATH identifier
0453.60069

JSTOR