Electronic Resource
Springer
Probability theory and related fields
108 (1997), S. 559-571
ISSN:
1432-2064
Keywords:
Key words: Markov set
;
Regenerative property
;
Skorohod embedding
;
Subordinator.
;
Mathematics Subject Classification (1991): 60D05
;
60J30
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Summary. Given a closed Markov (i.e. regenerative) set in [0,∞), we characterize the laws of the Markov sets which are regeneratively embedded into the latter. Typically, let Φ(1) and Φ(2) be two Laplace exponents corresponding to two regenerative laws, and M (2) a Markov set with exponent Φ(2). There exists a Markov set M (1) with exponent Φ(1) which is regeneratively embedded into M (2) if and only if Φ(1)/Φ(2) is a completely monotone function. Several examples and applications are discussed.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/s004400050121
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