Conditional Markov chains: properties, construction and structured dependence

DOI10.1016/j.spa.2016.07.010zbMath1358.60081MaRDI QIDQ516008

Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Andrzej Niewȩgłowski

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 measure; compensator of a random measure; conditional Markov chain; doubly stochastic Markov chain

Mathematics Subject Classification ID

60J27: Continuous-time Markov processes on discrete state spaces

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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