Open Access
Translator Disclaimer
January 2003 Pinching and twisting Markov processes
Steven N. Evans, Richard B. Sowers
Ann. Probab. 31(1): 486-527 (January 2003). DOI: 10.1214/aop/1046294318

Abstract

We develop a technique for "partially collapsing'' one Markov process to produce another. The state space of the new Markov process is obtained by a pinching operation that identifies points of the original state space via an equivalence relationship. To ensure that the new process is Markovian we need to introduce a randomized twist according to an appropriate probability kernel. Informally, this twist randomizes over the uncollapsed region of the state space when the process leaves the collapsed region. The "Markovianity'' of the new process is ensured by suitable intertwining relationships between the semigroup of the original process and the pinching and twisting operations. We construct the new Markov process, identify its resolvent and transition function and, under some natural assumptions, exhibit a core for its generator. We also investigate its excursion decomposition. We apply our theory to a number of examples, including Walsh's spider and a process similar to one introduced by Sowers in studying stochastic averaging.

Citation

Download Citation

Steven N. Evans. Richard B. Sowers. "Pinching and twisting Markov processes." Ann. Probab. 31 (1) 486 - 527, January 2003. https://doi.org/10.1214/aop/1046294318

Information

Published: January 2003
First available in Project Euclid: 26 February 2003

zbMATH: 1017.60084
MathSciNet: MR1959800
Digital Object Identifier: 10.1214/aop/1046294318

Subjects:
Primary: 60J35
Secondary: 60J40 , 60J60

Keywords: Excursion theory , Feller process , intertwining , Markov function , Right process , stratified space , Walsh's spider

Rights: Copyright © 2003 Institute of Mathematical Statistics

JOURNAL ARTICLE
42 PAGES


SHARE
Vol.31 • No. 1 • January 2003
Back to Top