Conditional Markov chains - construction and properties

• Autorzy: Tomasz R. Bielecki , Jacek Jakubowski , Mariusz Niewęgłowski
• Języki publikacji: EN

Abstrakty

EN

In this paper we study finite state conditional Markov chains (CMCs). We give two examples of CMCs, one which admits intensity, and another one, which does not admit an intensity. We also give a sufficient condition under which a doubly stochastic Markov chain is a CMC. In addition we provide a method for construction of conditional Markov chains via change of measure.

Kategorie tematyczne

• 60G44: Martingales with continuous parameter
• 60J27: Continuous-time Markov processes on discrete state spaces
• 60G55: Point processes
• 60J75: Jump processes

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2015
• Tom: 105
• Numer: 1
• Strony: 33-42

Daty

wydano

2015

Twórcy

autor

Tomasz R. Bielecki

• Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL 60616, USA

autor

Jacek Jakubowski

• Institute of Mathematics, University of Warsaw, ul. Banacha 2, 02-097 Warszawa, Poland
• Faculty of Mathematics and Information Science, Warsaw University of Technology, Warszawa, Poland

autor

Mariusz Niewęgłowski

• Faculty of Mathematics and Information Science, Warsaw University of Technology, ul. Koszykowa 75, 00-662 Warszawa, Poland

Identyfikatory

DOI

10.4064/bc105-0-2