The Annals of Probability

Last Exit Times and Additive Functionals

R. K. Getoor and M. J. Sharpe

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Abstract

The various objects examined in this paper arise in the study of last exit times and balayage of additive functionals for standard Markov processes. The most important results concern the characterization of the Laplace transform of an entrance law, the relationship between the last exit distribution from a set and the capacity measure of the set, the characterization of projective sets and $d$-sets, and a last exit decomposition formula for finite sets $F$ which expresses the distribution of $X_t$ in terms of the last exit from $F$ prior to $t$.

Article information

Source
Ann. Probab., Volume 1, Number 4 (1973), 550-569.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176996885

Digital Object Identifier
doi:10.1214/aop/1176996885

Mathematical Reviews number (MathSciNet)
MR353468

Zentralblatt MATH identifier
0324.60062

JSTOR
links.jstor.org

Subjects
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Secondary: 60J55: Local time and additive functionals 60J45: Probabilistic potential theory [See also 31Cxx, 31D05]

Keywords
Standard Markov process additive functional balayage local time last exit time entrance law projective set

Citation

Getoor, R. K.; Sharpe, M. J. Last Exit Times and Additive Functionals. Ann. Probab. 1 (1973), no. 4, 550--569. doi:10.1214/aop/1176996885. https://projecteuclid.org/euclid.aop/1176996885


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