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IX: 33, 522-529, LNM 465 (1975)
Le comportement de dernière sortie (Markov processes)
This paper contains improvements to the paper 813 by Maisonneuve-Meyer, whose results are briefly recalled. Incursion processes and Lévy systems are altogether avoided, last-exist decompositions are derived, and the strong Markov property of the analogue of the age process in renewal theory is proved, as well as a non-homogeneous Markov property for some processes starting at last-exit times. The extension of these results to abstractly defined regenerative systems is mentioned
Comment: More detailed versions of these results appear in Maisonneuve, Ann. Prob., 3, 1975, Z. für W-theorie, 80, 1989, and in Chapter XX of Dellacherie-Maisonneuve-Meyer, Probabilités et Potentiel, Hermann 1992
Keywords: Regenerative systems, Last-exit decompositions, Excursions
Nature: Original
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