Conditional Markov chains: properties, construction and structured dependence

DOI10.1016/J.SPA.2016.07.010zbMATH Open1358.60081OpenAlexW2514139331MaRDI QIDQ516008FDOQ516008

Authors Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski 

Publication date 20 March 2017

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2016.07.010

zbMATH Keywords

change of probability measurecompensator of a random measureconditional Markov chaindoubly stochastic Markov chain

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited in

(8)

• The parallel semi-Markov processes in objects group control tasks
• Gaussian conditionally Markov sequences: modeling and characterization
• The controller with installed polling program model for vector control systems
• A dynamic model of central counterparty risk
• Conditional Markov chains -- construction and properties
• A note on independence copula for conditional Markov chains
• Generalised liouville processes and their properties
• On the finite horizon optimal switching problem with random lag

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