A representation result for finite Markov chains

DOI10.1016/S0167-7152(98)00005-4MaRDI QIDQ449931zbMATH OpenFDO

Authors Peter Spreij

Publication date 2 September 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Markov chainmartingalestochastic differential equation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• A survey of product-integration with a view toward application in survival analysis
• Almost sure parameter estimation and convergence rates for hidden Markov models
• Calcul stochastique et problèmes de martingales
• Self-exciting counting process systems with finite state space

Cited in

(10)

• scientific article; zbMATH DE number 18210 (Why is no real title available?)
• scientific article; zbMATH DE number 30695 (Why is no real title available?)
• On the Markov property of a finite hidden Markov chain
• A Simple Proof of the Fundamental Theorem of Finite Markov Chains
• DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS
• Representation transformations for finding Markovian representations
• Representation of denumerable Markov chains with multiple states by weighted circuits
• A general theory of finite state backward stochastic difference equations
• A semi-martingale representation for a semi-Markov chain with application to finance
• Chaotic representation for finite markov chains

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