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6 matches found
IV: 12, 133-150, LNM 124 (1970)
MEYER, Paul-André
Ensembles régénératifs, d'après Hoffmann-Jørgensen (Markov processes)
The theory of recurrent events in discrete time was a highlight of the old probability theory. It was extended to continuous time by Kingman (see for instance Z. für W-theorie, 2, 1964), under the very restrictive assumption that the ``event'' has a non-zero probability to occur at fixed times. The general theory is due to Krylov and Yushkevich (Trans. Moscow Math. Soc., 13, 1965), a deep paper difficult to read and to apply in concrete cases. Hoffmann-Jørgensen (Math. Scand., 24, 1969) developed the theory under simple and efficient axioms. It is shown that a regenerative set defined axiomatically is the same thing as the set of returns of a strong Markov process to a fixed state, or the range of a subordinator
Comment: This result was expanded to involve a Markovian regeneration property instead of independence. See Maisonneuve-Meyer 813. The subject is related to excursion theory, Lévy systems, semi-Markovian processes (Lévy), F-processes (Neveu), Markov renewal processes (Pyke), and the literature is very extensive. See for instance Dynkin (Th. Prob. Appl., 16, 1971) and Maisonneuve, Systèmes Régénératifs, Astérisque 15, 1974
Keywords: Renewal theory, Regenerative sets, Recurrent events
Nature: Exposition
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IV: 13, 151-161, LNM 124 (1970)
Temps locaux pour les ensembles régénératifs (Markov processes)
This paper uses the results of the preceding one 412 to define and study the local time of a perfect regenerative set with empty interior (e.g. the set of zeros of Brownian motion), a continuous adapted increasing process whose set of points of increase is exactly the given set
Comment: Same references as the preceding paper 412
Keywords: Renewal theory, Regenerative sets, Local times
Nature: Original
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VIII: 13, 172-261, LNM 381 (1974)
MAISONNEUVE, Bernard; MEYER, Paul-André
Ensembles aléatoires markoviens homogènes (5 talks) (Markov processes)
This long exposition is a development of original work by the first author. Its purpose is the study of processes which possess a strong Markov property, not at all stopping times, but only at those which belong to a given homogeneous random set $M$---a point of view introduced earlier in renewal theory (Kingman, Krylov-Yushkevich, Hoffmann-Jörgensen, see 412). The first part is devoted to technical results: the description of (closed) optional random sets in the general theory of processes, and of the operations of balayage of random measures; homogeneous processes, random sets and additive functionals; right Markov processes and the perfection of additive functionals. This last section is very technical (a general problem with this paper).\par Chapter II starts with the classification of the starting points of excursions (``left endpoints'' below) from a random set, and the fact that the projection (optional and previsible) of a raw AF still is an AF. The main theorem then computes the $p$-balayage on $M$ of an additive functional of the form $A_t=\int_0^th\circ X_s ds$. All these balayages have densities with respect to a suitable local time of $M$, which can be regularized to yield a resolvent and then a semigroup. Then the result is translated into the language of homogeneous random measures carried by the set of left endpoints and describing the following excursion. This section is an enlarged exposition of results due to Getoor-Sharpe (Ann. Prob. 1, 1973; Indiana Math. J. 23, 1973). The basic and earlier paper of Dynkin on the same subject ( Teor. Ver. Prim. 16, 1971) was not known to the authors.\par Chapter III is devoted to the original work of Maisonneuve on incursions. Roughly, the incursion at time $t$ is trivial if $t\in M$, and if $t\notin M$ it consists of the post-$t$ part of the excursion straddling $t$. Thus the incursion process is a path valued, non adapted process. It is only adapted to the filtration ${\cal F}_{D_t}$ where $D_t$ is the first hitting time of $M$ after $t$. Contrary to the Ito theory of excursions, no change of time using a local time is performed. The main result is the fact that, if a suitable regeneration property is assumed only on the set $M$ then, in a suitable topology on the space of paths, this process is a right-continuous strong Markov process. Considerable effort is devoted to proving that it is even a right process (the technique is heavy and many errors have crept in, some of them corrected in 932-933).\par Chapter IV makes the connection between II and III: the main results of Chapter II are proved anew (without balayage or Laplace transforms): they amount to computing the Lévy system of the incursion process. Finally, Chapter V consists of applications, among which a short discussion of the boundary theory for Markov chains
Comment: This paper is a piece of a large literature. Some earlier papers have been mentioned above. Maisonneuve published as Systèmes Régénératifs, Astérisque, 15, 1974, a much simpler version of his own results, and discovered important improvements later on (some of which are included in Dellacherie-Maisonneuve-Meyer, Probabilités et Potentiel, Chapter XX, 1992). Along the slightly different line of Dynkin, see El~Karoui-Reinhard, Compactification et balayage de processus droits, Astérisque 21, 1975. A recent book on excursion theory is Blumenthal, Excursions of Markov Processes, Birkhäuser 1992
Keywords: Regenerative systems, Regenerative sets, Renewal theory, Local times, Excursions, Markov chains, Incursions
Nature: Original
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X: 03, 24-39, LNM 511 (1976)
JACOD, Jean; MÉMIN, Jean
Un théorème de représentation des martingales pour les ensembles régénératifs (Martingale theory, Markov processes, Stochastic calculus)
The natural filtration of a regenerative set $M$ is that of the corresponding ``age process''. There is a natural optional random measure $\mu$ carried by the right endppoints of intervals contiguous to $M$, each endpoint carrying a mass equal to the length of its interval. Let $\nu$ be the previsible compensator of $\mu$. It is shown that, if $M$ has an empty interior the martingale measure $\mu-\nu$ has the previsible representation property in the natural filtration
Comment: Martingales in the filtration of a random set (not necessarily regenerative) have been studied by Azéma in 1932. In the case of the set of zeros of Brownian motion, the martingale considered here is the second ``Azéma's martingale'' (not the well known one which has the chaotic representation property)
Keywords: Regenerative sets, Renewal theory, Stochastic integrals, Previsible representation
Nature: Original
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XI: 37, 529-538, LNM 581 (1977)
Changement de temps d'un processus markovien additif (Markov processes)
A Markov additive process $(X_t,S_t)$ (Cinlar, Z. für W-theorie, 24, 1972) is a generalisation of a pair $(X,S)$ where $X$ is a Markov process with arbitrary state space, and $S$ is an additive functional of $X$: in the general situation $S$ is positive real valued, $X$ is a Markov process in itself, and the pair $(X,S)$ is a Markov processes, while $S$ is an additive functional of the pair. For instance, subordinators are Markov additive processes with trivial $X$. A simpler proof of a basic formula of Cinlar is given, and it is shown also that a Markov additive process gives rise to a regenerative system in a slightly extended sense
Comment: See also 1513
Keywords: Markov additive processes, Additive functionals, Regenerative sets, Lévy systems
Nature: Original
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XIV: 45, 437-474, LNM 784 (1980)
TAKSAR, Michael I.
Regenerative sets on real line (Markov processes, Renewal theory)
From the introduction: A number of papers are devoted to studying regenerative sets on a positive half-line... our objective is to construct translation invariant sets of this type on the entire real line. Besides we start from a weaker definition of regenerativity
Comment: This important paper, if written in recent years, would have merged into the theory of Kuznetsov measures
Keywords: Regenerative sets
Nature: Original
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