A Note on Independence Copula for Conditional Markov Chains

DOI10.1007/978-1-4939-6969-2_10zbMath1382.60093OpenAlexW2751816805MaRDI QIDQ4604871

Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Andrzej Niewȩgłowski

Publication date: 6 March 2018

Published in: Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-6969-2_10

zbMATH Keywords

filtrationconditional lawconditional Markov chains

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Cites Work

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• Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae
• A class of \(\mathbb F\)-doubly stochastic Markov chains
• Statistical analysis of multiple ion channel data
• Intensity-based premium evaluation for unemployment insurance products
• The Markov consistency of Archimedean survival processes
• Lumpability and marginalisability for continuous-time Markov chains
• Continuous-time Markov chains in a random environment, with applications to ion channel modelling
• Conditional Markov chains – construction and properties

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