首页 正文

MARKOV PROCESSES CONDITIONED ON THEIR LOCATION AT LARGE EXPONENTIAL TIMES

{{output}}
Suppose that (Xt ) t ≥0 is a one-dimensional Brownian motion with negative drift -μ. It is possible to make sense of conditioning this process to be in the state 0 at an independent exponential random time and if we kill the conditioned process at the expone... ...