Semimartingale representation of a class of semi-Markov dynamics

DOI10.1007/S10959-023-01259-4MaRDI QIDQ6204790OpenAlexFDO

Authors Anindya Goswami, Subhamay Saha, Ravishankar Kapildev Yadav

Publication date 2 April 2024

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2207.06132

zbMATH Keywords

Poisson random measurenon-homogeneous semi-Markov processessemi-Markov system

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Abstract: We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation involving a Poisson random measure. The existence and uniqueness of the equation are established. Subsequently, we show that the solution is indeed a SMP with desired transition rate. Finally, we derive the law of the bivariate process obtained from two solutions of the equation having two different initial conditions.

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