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Basic adjoint relation for transient and stationary analysis of some Markovprocesses

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  • H. Chen

Abstract

The basic adjoint relation (BAR) was first introduced by Harrison and Williams [21,22] to characterize the stationary distribution of a diffusion process. Through simple examples, we show that this procedure can be used to characterize both the stationary and the transient distributions of a diffusion process, as well as other non‐diffusion Markov processes. Copyright Kluwer Academic Publishers 1999

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  • H. Chen, 1999. "Basic adjoint relation for transient and stationary analysis of some Markovprocesses," Annals of Operations Research, Springer, vol. 87(0), pages 273-303, April.
    • Handle: RePEc:spr:annopr:v:87:y:1999:i:0:p:273-303:10.1023/a:1018937103955
    DOI: 10.1023/A:1018937103955
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    Cited by:

    1. S. Franceschi, 2021. "Green’s Functions with Oblique Neumann Boundary Conditions in the Quadrant," Journal of Theoretical Probability, Springer, vol. 34(4), pages 1775-1810, December.

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