An Equality in Stochastic Processes
Abstract
The equality presented in this paper is extremely simple, but has proven useful on a number of occasions in deriving certain transition probabilities where other approaches such as the Laplace transform or the generating function become untidy (see, for example, [7]). The equality is not completely unknown; it has appeared, in a slightly different form, in a two dimensional process ([2],p. 102); and it is obvious for the simple Poisson process. The purpose of this paper is to state it in a general form and to demonstrate its validity and usefulness with a number of examples.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 21, 1971
- Accession Number
- AD1025526
Entities
People
- Chin L. Chiang
Organizations
- University of California, Berkeley