Conditional Markov chains - construction and properties
Tomasz R. Bielecki ; Jacek Jakubowski ; Mariusz Niewęgłowski
Banach Center Publications, Tome 104 (2015), p. 33-42 / Harvested from The Polish Digital Mathematics Library
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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.

Publié le : 2015-01-01
EUDML-ID : urn:eudml:doc:286123 
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     author = {Tomasz R. Bielecki and Jacek Jakubowski and Mariusz Niew\k eg\l owski},
     title = {Conditional Markov chains - construction and properties},
     journal = {Banach Center Publications},
     volume = {104},
     year = {2015},
     pages = {33-42},
     zbl = {1323.60102},
     language = {en},
     url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc105-0-2}
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Tomasz R. Bielecki; Jacek Jakubowski; Mariusz Niewęgłowski. Conditional Markov chains - construction and properties. Banach Center Publications, Tome 104 (2015) pp. 33-42. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc105-0-2/