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Poisson Point Processes and Their Application to Markov Processes.

Poisson Point Processes and Their Application to Markov Processes. 伊藤清著 ポアソン点過程とそのマルコフ過程への応用

・ISBN 978-981-10-0271-7 paper EUR 49.99

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お気に入り
著者・編者Ito, Kiyosi,
シリーズSpringerBriefs in Probability and Mathematical Statistics
出版社(Springer, GW)
出版年月2016
ページ数43 pp.
言語ENG
ニュース番号<630-288>

解説

An extension problem (often called a boundary problem) of Markov processes has been studied, particularly in the case of one-dimensional diffusion processes, by W. Feller, K. Ito, and H. P. McKean, among others. In this book, Ito discussed a case of a general Markov process with state space S and a specified point a ? S called a boundary. The problem is to obtain all possible recurrent extensions of a given minimal process (i.e., the process on S \ {a} which is absorbed on reaching the boundary a). The study in this lecture is restricted to a simpler case of the boundary a being a discontinuous entrance point, leaving a more general case of a continuous entrance point to future works. He established a one-to-one correspondence between a recurrent extension and a pair of a positive measure k(db) on S \ {a} (called the jumping-in measure and a non-negative number m< (called the stagnancy rate). The necessary and sufficient conditions for a pair k, m was obtained so that the correspondence is precisely described. For this, Ito used, as a fundamental tool, the notion of Poisson point processes formed of all excursions of the process on S \ {a}. This theory of Ito's of Poisson point processes of excursions is indeed a breakthrough. It has been expanded and applied to more general extension problems by many succeeding researchers. Thus we may say that this lecture note by Ito is really a memorial work in the extension problems of Markov processes. Especially in Chapter 1 of this note, a general theory of Poisson point processes is given that reminds us of Ito's beautiful and impressive lectures in his day.