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On time reversal of piecewise deterministic Markov processes


 
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1. Title Title of document On time reversal of piecewise deterministic Markov processes
 
2. Creator Author's name, affiliation, country Andreas Löpker; Helmut Schmidt University, Hamburg; Germany
 
2. Creator Author's name, affiliation, country Zbigniew Palmowski; University of Wroclaw; Poland
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Piecewise Deterministic Markov Processes, time reversal, Stationary distribution
 
3. Subject Subject classification 60J25; 60J27
 
4. Description Abstract We study the time reversal of a general Piecewise Deterministic Markov Process (PDMP). The time reversed process is defined as $X_{(T-t)-}$, where $T$ is some given time and $X_t$ is a stationary PDMP. We obtain the parameters of the reversed process, like the jump intensity and the jump measure.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-01-23
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/1958
 
10. Identifier Digital Object Identifier 10.1214/EJP.v18-1958
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 18
 
12. Language English=en en
 
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