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Birth delay of a Markov process and the stopping distributions for regular processes
Authors:E. B. Dynkin
Affiliation:(1) Department of Mathematics, Cornell University, White Hall, 14853 Ithaca, NY, USA
Abstract:Summary We consider Markov processes with a fixed transition functionp(r, x; t, B) and with random birth times. We show that a process
$$(tilde X_t ,tilde P)$$
can be obtained from (Xt,P) by birth delay if and only if
$$tilde Pleft{ {tilde X_t  in B} right} leqq Pleft{ {X_t  in B} right}$$
for allt andB. As an application, we give a new version and a new proof of the results of Rost [R] and Fitzsimmons [F2] on stopping distributions of Markov processes. The key Lemma 1.1 replaces the ldquofilling schemerdquo used by the previous authors.Birth delay was considered from a different prospective in [F1].Partially supported by the National Science Foundation Grant DMS-8802667
Keywords:60J25  60G40
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