Semimartingale representation of a class of semi-Markov dynamics

DOI10.1007/S10959-023-01259-4arXiv2207.06132OpenAlexW4372358147MaRDI QIDQ6204790FDOQ6204790

Authors: Anindya Goswami, Subhamay Saha, Ravishankar Kapildev Yadav 

Publication date: 2 April 2024

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

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.

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)

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