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math.PR2007
Markov processes with product-form stationary distribution
Krzysztof Burdzy, David White
We study a class of Markov processes with finite state space and continuous time that have product form stationary distributions. We obtain a number of examples that can generate c…
math.PR2006
Processes with inert drift
David White
We construct a stochastic process whose drift is a function of the process's local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian part…