Martingale generating functions for Markov chains (Q1600710)

Let \(X=(X(t))_{t\in T}\) be a Markov chain with either discrete \([T=\{0,1,2, \dots,\}]\) or continuous parameter \((T=[0,\infty))\). The authors are concerned with martingales of the form \(\psi(X)\) or \(\varphi(X,\tau)\), where \(\tau\) is a stopping time for \(X\). They derive the generating functions of such martingales and show the use of them in studying the properties of the process \(X\). As examples, the authors consider in some detail the conflict model, the simple epidemic model and the continuous time birth-and-death process with constant birth and death rates.