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Markov moment

From Encyclopedia of Mathematics
Revision as of 16:10, 10 March 2012 by Boris Tsirelson (talk | contribs) (stopping time MSC|60G40 Category:Stochastic processes)
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Markov time; stopping time

2020 Mathematics Subject Classification: Primary: 60G40 [MSN][ZBL]

A notion used in probability theory for random variables having the property of independence of the "future" . More precisely, let be a measurable space with a non-decreasing family , , of -algebras of ( in the case of continuous time and in the case of discrete time). A random variable with values in is called a Markov moment or Markov time (relative to the family , ) if for each the event belongs to . In the case of discrete time this is equivalent to saying that for any the event belongs to .

Examples.

1) Let , , be a real-valued right-continuous random process given on , and let . Then the random variables

and

that is, the (first and first after ) times of hitting the (Borel) set , form Markov moments (in the case it is assumed that ).

2) If , , is a standard Wiener process, then the Markov moment

has probability density

Here , but .

3) The random variable

being the first time after which remains in , is an example of a non-Markov moment (a random variable depending on the "future" ).

Using the idea of a Markov moment one can formulate the strong Markov property of Markov processes (cf. Markov process). Markov moments and stopping times (that is, finite Markov moments) play a major role in the general theory of random processes and statistical sequential analysis.

References

[1] I.I. [I.I. Gikhman] Gihman, A.V. [A.V. Skorokhod] Skorohod, "The theory of stochastic processes" , 2 , Springer (1975) (Translated from Russian)


Comments

References

[a1] R.M. Blumenthal, R.K. Getoor, "Markov processes and potential theory" , Acad. Press (1968)
[a2] J.L. Doob, "Classical potential theory and its probabilistic counterpart" , Springer (1984) pp. 390
[a3] E.B. Dynkin, "Markov processes" , 1 , Springer (1965) (Translated from Russian)
[a4] A.D. [A.D. Ventsel'] Wentzell, "A course in the theory of stochastic processes" , McGraw-Hill (1981) (Translated from Russian)
[a5] L.P. Breiman, "Probability" , Addison-Wesley (1968)
How to Cite This Entry:
Markov moment. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Markov_moment&oldid=21656
This article was adapted from an original article by A.N. Shiryaev (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article