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| HAL : hal-00142589, version 1 |
| DOI : 10.1007/s10959-007-0123-9 |
| Fiche détaillée |  Récupérer au format |
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| Journal of Theoretical Probability 21, 3 (2008) 745-771 |
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| Penalization for birth and death processes |
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Pierre Debs 1, 2Mihai Gradinaru 1, 3 |
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| (2008) |
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| In this paper we study a transient birth and death Markov process penalized by its sojourn time in 0. Under the new probability measure the original process behaves as a recurrent birth and death Markov process. We also show, in a particular case, that an initially recurrent birth and death process, behaves as an transient birth and death process after penalization with the event that it can reach zero in infinite time. We illustrate some of our results with the Bessel random walk example. |
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| 1 : | Institut Elie Cartan Nancy (IECN) |
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CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine (INPL) |
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| 2 : | Mathématiques - Analyse, Probabilités, Modélisation - Orléans (MAPMO) |
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Université d'Orléans – CNRS : UMR7349 |
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| 3 : | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
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| Domaine | : | Mathématiques/Probabilités |
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| Birth and death Markov processes – penalization – sojourn time – Dynkin's formula – random walk – Brownian motion with drift – Bessel chain and process – change of probability |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00142589, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00142589 | |
| oai:hal.archives-ouvertes.fr:hal-00142589 | |
| Contributeur : Mihai Gradinaru | |
| Soumis le : Jeudi 19 Avril 2007, 19:43:06 | |
| Dernière modification le : Vendredi 19 Mars 2010, 10:01:14 | |
