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Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems


 
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1. Title Title of document Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems
 
2. Creator Author's name, affiliation, country Thomas G. Kurtz; University of Wisconsin, Madison
 
2. Creator Author's name, affiliation, country Richard H. Stockbridge; University of Kentucky
 
3. Subject Discipline(s) Mathematics
 
3. Subject Keyword(s) singular controls, stationary processes, Markov processes, martingale problems, forward equations, constrained Markov processes.
 
3. Subject Subject classification Primary: 60J35, 93E20 Secondary: 60G35, 60J25.
 
4. Description Abstract Stationary distributions of Markov processes can typically be characterized as probability measures that annihilate the generator in the sense that $int_EAfdmu =0$ for $fin {cal D}(A)$; that is, for each such $mu$, there exists a stationary solution of the martingale problem for A with marginal distribution $ mu$. This result is extended to models corresponding to martingale problems that include absolutely continuous and singular (with respect to time) components and controls. Analogous results for the forward equation follow as a corollary.
 
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7. Date (YYYY-MM-DD) 2001-01-17
 
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/90
 
10. Identifier Digital Object Identifier 10.1214/EJP.v6-90
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 6
 
12. Language English=en en
 
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