Document Zbl 0406.60063

The inverse balayage problem for Markov chains, part II. (English) Zbl 0406.60063

Stochastic Processes Appl. 9, 35-53 (1979).

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MSC:

60J10	Markov chains (discrete-time Markov processes on discrete state spaces)
60G50	Sums of independent random variables; random walks
60J45	Probabilistic potential theory
60G40	Stopping times; optimal stopping problems; gambling theory
60J50	Boundary theory for Markov processes

Keywords:

Markov Chain; Extreme Point; Reversed Markov Chain; Stopping Time; Balayage; Face; First Entry Distribution; Natural Stopping Time; Inverse Balayage Problem; Adjacent Extreme Points; Last Exit Distribution

Citations:

Zbl 0387.60073

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References:

[1]	Blumenthal, R. M.; Getoor, R. K., Markov Processes and Potential Theory (1968), Academic Press: Academic Press New York · Zbl 0169.49204
[2]	Çinlar, E., Introduction to Stochastic Processes (1975), Prentice-Hall: Prentice-Hall Englewood Cliffs, NJ · Zbl 0341.60019
[3]	Dubins, L., On a theorem of Skorohod, Ann. Math. Statist., 39, 2094-2097 (1968) · Zbl 0185.45103
[4]	Karr, A. F.; Pittenger, A. O., The inverse balayage problem for Markov chains, Stochastic Processes Appl., 7, 2, 165-178 (1978) · Zbl 0387.60073
[5]	Karr, A. F.; Pittenger, A. O., An inverse balayage problem for Brownian motion, Ann. Probability, 7, 186-191 (1979) · Zbl 0392.60059
[6]	Kemeny, J. G.; Snell, J. L.; Knapp, A. W., Denumerable Markov Chains (1976), Springer: Springer New York · Zbl 0149.13301
[7]	C. Mueller, A new construction of Skorohod’s stopping times for Brownian motion (preprint).; C. Mueller, A new construction of Skorohod’s stopping times for Brownian motion (preprint).
[8]	Neveu, J., Discrete-Parameter Martingales (1975), North-Holland: North-Holland Amsterdam · Zbl 0345.60026
[9]	Rost, H., Markov-Ketten bei sich füllenden Lochern in Zustrandsraum, Ann. Inst. Fourier, 21, 253-270 (1971) · Zbl 0197.44206
[10]	Smythe, R. T.; Walsh, J. B., The existence of dual processes, Invent. Math., 19, 113-148 (1973) · Zbl 0243.60008
[11]	Stoer, J.; Witzgall, C., Convexity and Optimization in Finite Dimensions (1970), Springer: Springer Berlin · Zbl 0203.52203

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