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Stochastic duality of Markov processes : a study via generators
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Kolokoltsov, V. N. (Vasiliĭ Nikitich) and Lee, Rui Xin (2013) Stochastic duality of Markov processes : a study via generators. Stochastic Analysis and Applications, Volume 31 (Number 6). pp. 992-1023. doi:10.1080/07362994.2013.827098 ISSN 1532-9356.
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Official URL: http://dx.doi.org/10.1080/07362994.2013.827098
Abstract
The article is devoted to a study of the duality of processes in the sense that for a certain f. This classical topic has well known applications in interacting particles, intertwining, superprocesses, stochastic monotonicity, exit – entrance laws, ruin probabilities in finances, etc. Aiming mostly at the case of f depending on the difference of its arguments, we develop a systematic approach to duality via the analysis of the generators of dual Markov processes and illustrate this approach by various examples, in particular, by giving a full characterization of duality arising from Pareto order in R d.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Stochastic Analysis and Applications | ||||
Publisher: | Taylor & Francis Inc. | ||||
ISSN: | 1532-9356 | ||||
Official Date: | 2 November 2013 | ||||
Dates: |
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Volume: | Volume 31 | ||||
Number: | Number 6 | ||||
Page Range: | pp. 992-1023 | ||||
DOI: | 10.1080/07362994.2013.827098 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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