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2010 A Class of $\mathbb{F}$-Doubly Stochastic Markov Chains
Jecek Jakubowski, Mariusz Nieweglowski
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Electron. J. Probab. 15: 1743-1771 (2010). DOI: 10.1214/EJP.v15-815

Abstract

We define a new class of processes, very useful in applications, $\mathbb{F}$-doubly stochastic Markov chains which contains among others Markov chains. This class is fully characterized by s ome martingale properties, and one of them is new even in the case of Markov chains. Moreover a predictable representation theorem holds and doubly stochastic property is preserved under natural change of measure.

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Jecek Jakubowski. Mariusz Nieweglowski. "A Class of $\mathbb{F}$-Doubly Stochastic Markov Chains." Electron. J. Probab. 15 1743 - 1771, 2010. https://doi.org/10.1214/EJP.v15-815

Information

Accepted: 5 November 2010; Published: 2010
First available in Project Euclid: 1 June 2016

zbMATH: 1231.60048
MathSciNet: MR2735380
Digital Object Identifier: 10.1214/EJP.v15-815

Subjects:
Primary: 60G99
Secondary: 60G17, 60G44, 60G55, 60K99

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Vol.15 • 2010
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