On Forward and Backward Kolmogorov Equations for Pure Jump Markov Processes and Their Generalizations

DOI10.1137/S0040585X97T991684MaRDI QIDQ6153531zbMATH OpenWikidataFDO

Authors Eugene A. Feinberg, Albert N. Shiryaev

Publication date 14 February 2024

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

uniqueness of solutionstandard Borel spacepure jump Markov processforward and backward equationsdifferentiability of transition probabilityfinite and countable state spaces

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35) Jump processes on general state spaces (60J76)

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• Any Markov Process in a Borel Space has a Transition Function
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• Existence and regularity of a nonhomogeneous transition matrix under measurability conditions
• Kolmogorov's equations for jump Markov processes and their applications to control problems
• Kolmogorov's equations for jump Markov processes with unbounded jump rates
• Markoff Chains--Denumerable Case
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• On solutions of Kolmogorov's equations for nonhomogeneous jump Markov processes
• SOME FURTHER PATHOLOGICAL EXAMPLES IN THE THEORY OF DENUMERABLE MARKOV PROCESSES
• Sufficiency of Markov policies for continuous-time jump Markov decision processes

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