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Mat. Zametki, 2018 Volume 104, Issue 5, Pages 643–648 (Mi mzm11084)

On the Distribution of the First Component $\eta_{t}$ of a Controlled Poisson Process $\{\eta_{t},\xi_{t}\}$, $t\ge 0$, without Boundary

T. M. Aliyev, K. K. Omarova

Institute of Control Systems, National Academy of Sciences of Azerbaijan

Abstract: An ergodicity condition for the first component $\eta_{t}$ of a controlled Poisson process without boundary is found. The Laplace transform of the same component $\eta_{t}$, $t\ge 0$, is obtained from the given transition probabilities of the process $\{\eta_{t},\xi_{t}\}$, $t\ge 0$. It is essential that the given process $\{\eta_{t},\xi_{t}\}$, $t\ge 0$, is a Markov process homogeneous in the second component.

Keywords: Poisson process, ergodicity condition, homogeneous Markov process, Laplace transform.

UDC: 519.21

Received: 09.12.2015
Revised: 27.12.2017

DOI: 10.4213/mzm11084


 English version:
Mathematical Notes, 2018, 104:5, 623–627

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© Steklov Math. Inst. of RAS, 2024