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Extremal problems for regenerative phenomena
Part of:
Markov processes
Published online by Cambridge University Press: 14 July 2016
Abstract
This paper explores the possibility of a calculus of variations powerful enough to prove inequalities for the p-functions of regenerative phenomena such as that conjectured by Davidson and proved by Dai. It is shown that this is unlikely to be achieved by compactifying the space of standard p-functions, and a more promising approach is that of working in a compact subspace. The analysis leads to a class of candidate p-functions which contains all the maxima of general functionals.
MSC classification
- Type
- Part 6. Stochastic processes
- Information
- Journal of Applied Probability , Volume 41 , Issue A: Stochastic Methods and their Applications , 2004 , pp. 333 - 346
- Copyright
- Copyright © Applied Probability Trust 2004
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