Timeline for A Markov process which is not a strong markov process?
Current License: CC BY-SA 3.0
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| Nov 18, 2015 at 17:45 | history | edited | user6096 | CC BY-SA 3.0 |
corrected book title
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| Oct 28, 2010 at 5:02 | comment | added | user6096 | I can't resist giving this quote from Kai Lai Chung's "Lectures from Markov Processes to Brownian Motion (1982)" -- It may be difficult for the novice to appreciate the fact that twenty five years ago a formal proof of the strong Markov property was a major event. Who now is interested in an example in which it does not hold? | |
| Oct 27, 2010 at 17:51 | comment | added | George Lowther | Ah, this is quite a simple example. It fails the strong Markov property, but not as badly as Andrey's and my example. This one still satisfies a restricted version of the strong Markov property, where you only look at predictable stopping times. It is "moderate Markov" (books.google.co.uk/…). | |
| Oct 27, 2010 at 17:17 | history | answered | user6096 | CC BY-SA 2.5 |