Martingale generating functions for Markov chains

DOI10.1016/S0378-3758(01)00196-3MaRDI QIDQ1600710zbMATH OpenFDO

Authors R. Smith, E. J. Williams, R. K. Watson

Publication date 16 June 2002

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-3758(01)00196-3

zbMATH Keywords

conflict modelcontinuous time birth-and-death processgenerating functionsmartingalesimple epidemic model

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27)

Review text

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.

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Cites work

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Cited in

(7)

• A class of generators of pseudo-Markov chains
• scientific article; zbMATH DE number 4133234 (Why is no real title available?)
• scientific article; zbMATH DE number 5828929 (Why is no real title available?)
• scientific article; zbMATH DE number 4216188 (Why is no real title available?)
• Identities for stopped markov chains and their applications
• Generating Functions for Markov Renewal Processes
• A generating function approach to Markov chains undergoing binomial catastrophes

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