ON FORWARD AND BACKWARD KOLMOGOROV EQUATIONS FOR PURE JUMP MARKOV PROCESSES AND THEIR GENERALIZATIONS

被引：0
|
作者：
Feinberg, E. A. [1 ]
Shiryaev, A. N. [2 ]
机构：
[1] SUNY Stony Brook, Dept Appl Math & Stat, Stony Brook, NY 11794 USA
[2] Russian Acad Sci, Steklov Math Inst, Moscow, Russia
来源：
THEORY OF PROBABILITY AND ITS APPLICATIONS | 2023年 / 68卷 / 04期
基金：
俄罗斯科学基金会;
关键词：
pure jump Markov process; finite and countable state spaces; standard Borel space; differentiability of the transition probability; forward and backward equations; uniqueness of the solution;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In the present paper, we first give a survey of the forward and backward Kolmogorov equations for pure jump Markov processes with finite and countable state spaces, and then describe relevant results for the case of Markov processes with values in standard Borel spaces based on results of W. Feller and the authors of the present paper.
引用
收藏
页码：643 / 656
页数：14
相关论文
共 50 条
12345