Markov Functions

L. C. G. Rogers; J. W. Pitman

doi:10.1214/aop/1176994363

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Home > Journals > Ann. Probab. > Volume 9 > Issue 4 > Article

August, 1981 Markov Functions

L. C. G. Rogers, J. W. Pitman

Ann. Probab. 9(4): 573-582 (August, 1981). DOI: 10.1214/aop/1176994363

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Abstract

A simple condition sufficient to ensure that a function of a time-homogeneous Markov process is again a time-homogeneous Markov process is proved. This result is then used to study a number of diffusions; in particular, an extension of a result of Pitman is proved, from which it is possible easily to deduce the path decompositions of Williams.