Perhaps the most interesting case of the strong Markov property which has been studied so far is that where the optional random variable is an exit time from a stable state. In contrast to the case of an entrance time, which can be defined also for an instantaneous state, we have here already the general situation where the adjoined state ∞ may appear at the optional time. It turns out however that there is still independence of the post and future fields as in the post-entrance case.


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Copyright information

© Springer-Verlag OHG. Berlin · Göttingen · Heidelberg 1960

Authors and Affiliations

  • Kai Lai Chung
    • 1
  1. 1.Syracuse UniversityUSA

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