时间变换过程的 Revuz 测度.pdfVIP

A : , 2007, 37(8): 1009–1016 Revuz 1 2 (1. Æ, Æ 200433; 2. , Æ 200433)  Markov  Revuz   ,    L´evy   . Feller MSC(2000) 60J45, 60J40 1 Markov . (E, E ) Markov ( [1]) X = (Ω, F , F , X , θ , Px ), t t t (P ), ∂ , ζ . , X t t X (t). A = (A ) A = 0 s, t 0, A = t 0 t+s At + As ◦ θt , A . , . , [2]. A, τt := inf{s 0 : As t}, RA := inf{t 0 : At 0}, F := {x : Px (RA = 0) = 1}, T := inf{t 0 : Xt ∈ F }, , (τ ) A , F A . τ = R = T ( [1], §64). t 0 A Φ(x) := Ex (e−T ), E e X 1- σ- , F = {Φ = 1} ∈ E e . , ˜ ˜ ˜ {τ X : t 0} Æ τ = R . = X , F = F , θ = θ , t 0 A t τt t τt t τt x ˜ ˜ ˜ ˜ X = (Ω, F , F , X , θ , P ) t t t ˜ ˜ F , ζ = A∞ Markov . θ X A , . , . [1]. Revuz : 2006-09-03; : 2007-03-22 (: E-mail: pinghe@, jgying@ 1010 A