一类半Markov过程的伴随鞅及首次通过问题

THE ADJOINT MARTINGALE OF A SEMI MARKOV PROCESS AND THE FIRST PASSAGE PROBLEM

对一类半Ｍａｒｋｏｖ过程引进某伴随鞅，得到了过程首次通过状态０的一些结果。

In this paper we give an adjoint martingale of a semi Markov process and derive some results of the first passage for the process. In the end, we give a representation formula of the stopping time.