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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2013 Volume 420, Pages 157–174 (Mi znsl5733)

This article is cited in 1 paper

Preserving of Markovness whilst delayed reflection

B. P. Harlamov

Institute of Problems of Mechanical Engineering, Russian Academy of Sciences, St. Petersburg, Russia

Abstract: A one-dimensional locally-Markov diffusion process with positive range of values is considered. This process is assumed to be reflected from the point 0. All variants of reflection preserving the semi-Markov property are described. The reflected process prolongs to be locally-Markov in open intervals, but it can loose the global Markov property. The reflection is characterized by $\alpha(r)$ which is the first exit time from semi-interval $[0,r)$ after the first hitting time at 0 (for any $r>0$). A distribution of this time-interval is used for deriving a time change a process with instantaneous reflection into a process with delayed reflection. A process which preserves its markovness after the delayed reflection is proved to have a special distribution of the set of time points when the process has zero meaning during the time $\alpha(r)$. This discontinuum set has exponentially distributed Lebesgue measure.

Key words and phrases: diffusion, Markov, continuous semi-Markov, reflection, delay, first exit time, transition function, Laplace transformation, time change, discontinuum.

UDC: 519.217.62

Received: 22.10.2013


 English version:
Journal of Mathematical Sciences (New York), 2015, 206:2, 217–229

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© Steklov Math. Inst. of RAS, 2024