A note on the jump locations of Markov processes
Probability
2019-08-23 v2
Abstract
For a continuous-time Markov process, we characterize the law of the first jump location when started from an arbitrary initial distribution, in terms of the invariant distribution of an auxiliary Markov process. This could be of interest in the burgeoning fields of piecewise-deterministic Markov chain Monte Carlo methods and quasi-stationary Monte Carlo methods.
Keywords
Cite
@article{arxiv.1901.07321,
title = {A note on the jump locations of Markov processes},
author = {Andi Q. Wang and David Steinsaltz},
journal= {arXiv preprint arXiv:1901.07321},
year = {2019}
}
Comments
v2: 12 pages, major revision; results now couched in terms of killing operators