IX: 33, 522-529, LNM 465 (1975)
MAISONNEUVE, Bernard
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,
ExcursionsNature: Original
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