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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. LOMI, 1983 Volume 130, Pages 109–121 (Mi znsl4339)

This article is cited in 3 papers

The method of stratification for processes with independent increments

M. A. Lifshits


Abstract: Let $X(s)=\gamma(s)+W(\sigma(s))+\int_{-\infty}^\infty\int_0^s\ae\Pi(d\ae, ds)$ be a process with independent increments, where $\Pi$ is a Poisson measure, $W$ – Wiener process. The quasiinvariant transformations
$$ G_cX(s)=\gamma(s)+W(\sigma(s))+\int_{-\infty}^\infty\int_0^sg(c, \ae, t)\Pi(d\ae, ds) $$
with suitable kernel $g$ form a one-parametric semigroup. Partition of probabilistic functional space into one-dimensional orbits of semigroup $G$ is considered. Conditional distributions and distributions of some functionals are calculated.

UDC: 519.62



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