Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae

DOI10.1214/EJP.V18-2238zbMath1290.60072arXiv1105.2679OpenAlexW2156583328MaRDI QIDQ388912

Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Andrzej Niewȩgłowski

Publication date: 17 January 2014

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

Full work available at URL: https://arxiv.org/abs/1105.2679

zbMATH Keywords

dependencecompensator of random measuremarginal lawMarkov consistencyMarkov copulaemultivariate Markov chain

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

The Markov consistency of Archimedean survival processes ⋮ Inhomogeneous time change equations for Markov chains and their applications ⋮ A Note on Independence Copula for Conditional Markov Chains ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ Conditional Markov chains: properties, construction and structured dependence ⋮ Statistical analysis of multivariate discrete-valued time series

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