摘要
本文对于一类扩散过程的轨道作了excursion分解。应用Maisonnenve给出的exitsystem,得到了通过扩散的转移密度表出的相应泊松点过程的特征测度。作为例子,给出了Ornstein-Uhlenbeek过程的一个随机积分表示,最后用Geoor的方法计算出了熟知的该过程的一个不变测度。
In this paper, the excursion decomposition of the paths of a cerlain class of diffusions is carried out. Using Maisonneuve's exit system, we obtain the concrete form of the characteristic measure n of the respective Poisson point processes in terms of the transition density functions of the diffusions. As an example, we give a stochastic integral version of Ornstein-Uhlenbeck Processes starting from zero. Finally, although it is known, an invariant measure of these processes is obtained via Getoor's method.
出处
《应用概率统计》
CSCD
北大核心
1992年第4期349-356,共8页
Chinese Journal of Applied Probability and Statistics
