Stratification method for processes with independent increments

Research output

Abstract

Let {Mathematical expression} be a process with independent increments, Let W be a Wiener process, and let Π be a Poisson measure with independent values. The quasiinvariant transformations {Mathematical expression} under an appropriate kernel g, form a one-parameter semigroup. One considers the partitions of a probability functional space into one-dimensional orbits of the semigroup G. One computes the conditional probabilities. The results of the computations can be used for the investigation of the distributions of the functionals of the process X. A series of results of the paper can be applied to a much wider class of processes and semigroups.

Original languageEnglish
Pages (from-to)3241-3251
Number of pages11
JournalJournal of Soviet Mathematics
Volume27
Issue number6
DOIs
Publication statusPublished - 1 Dec 1984

Scopus subject areas

  • Mathematics(all)

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