Conditional Markov chains - construction and properties

Tomasz R. Bielecki, Jacek Jakubowski, and Mariusz Niewęgłowski. "Conditional Markov chains - construction and properties." Banach Center Publications 105.1 (2015): 33-42. <http://eudml.org/doc/286123>.

@article{TomaszR2015,
abstract = {In this paper we study finite state conditional Markov chains (CMCs). We give two examples of CMCs, one which admits intensity, and another one, which does not admit an intensity. We also give a sufficient condition under which a doubly stochastic Markov chain is a CMC. In addition we provide a method for construction of conditional Markov chains via change of measure.},
author = {Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski},
journal = {Banach Center Publications},
keywords = {conditional Markov chains; intensity; doubly stochastic Markov chain; change of measure},
language = {eng},
number = {1},
pages = {33-42},
title = {Conditional Markov chains - construction and properties},
url = {http://eudml.org/doc/286123},
volume = {105},
year = {2015},
}

TY - JOUR
AU - Tomasz R. Bielecki
AU - Jacek Jakubowski
AU - Mariusz Niewęgłowski
TI - Conditional Markov chains - construction and properties
JO - Banach Center Publications
PY - 2015
VL - 105
IS - 1
SP - 33
EP - 42
AB - In this paper we study finite state conditional Markov chains (CMCs). We give two examples of CMCs, one which admits intensity, and another one, which does not admit an intensity. We also give a sufficient condition under which a doubly stochastic Markov chain is a CMC. In addition we provide a method for construction of conditional Markov chains via change of measure.
LA - eng
KW - conditional Markov chains; intensity; doubly stochastic Markov chain; change of measure
UR - http://eudml.org/doc/286123
ER -