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Some remarks on a paper of Kingman

Published online by Cambridge University Press:  01 July 2016

R. K. Getoor
R. K. Getoor*
Affiliation:
University of California, San Diego
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Abstract

We illustrate a technique for computing certain integrals that arise in probability theory by giving a new derivation of a formula of Kingman. This formula contains the joint distribution of the processes F(t) = inf {s: X(t + s) = b} and B(t) = inf{s: X(t - s) = b} where X is a time homogeneous, continuous parameter, Markov process and b is a fixed point in its state space. We then extend this formula to the situation in which b is replaced by a finite set {b 1, …, b n }.

Keywords

MARKOV PROCESSLOCAL TIMEZERO SETSUBORDINATOREMBEDDED PROCESS

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 6 , Issue 4 , December 1974 , pp. 757 - 767
Copyright
Copyright © Applied Probability Trust 1974 

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References

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