A representation result for finite Markov chains

DOI10.1016/S0167-7152(98)00005-4zbMath1246.60067MaRDI QIDQ449931

Peter Spreij

Publication date: 2 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationMarkov chainmartingale

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ On the Markov property of a finite hidden Markov chain

Cites Work

• Calcul stochastique et problèmes de martingales
• Self-exciting counting process systems with finite state space
• Almost sure parameter estimation and convergence rates for hidden Markov models
• A survey of product-integration with a view toward application in survival analysis
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