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December, 1976 The Equivalence of Absorbing and Reflecting Barrier Problems for Stochastically Monotone Markov Processes
D. Siegmund
Ann. Probab. 4(6): 914-924 (December, 1976). DOI: 10.1214/aop/1176995936

Abstract

The equivalence between absorbing and reflecting barrier problems for random walks is shown to hold for stochastically monotone Markov processes. For Markov chains in continuous time this relation is expressed directly in terms of the $Q$-matrices of the chains. Some examples are given.

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D. Siegmund. "The Equivalence of Absorbing and Reflecting Barrier Problems for Stochastically Monotone Markov Processes." Ann. Probab. 4 (6) 914 - 924, December, 1976. https://doi.org/10.1214/aop/1176995936

Information

Published: December, 1976
First available in Project Euclid: 19 April 2007

zbMATH: 0364.60109
MathSciNet: MR431386
Digital Object Identifier: 10.1214/aop/1176995936

Subjects:
Primary: 60J25
Secondary: 60J75

Rights: Copyright © 1976 Institute of Mathematical Statistics

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Vol.4 • No. 6 • December, 1976
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