Abstract
To every continuous time Markov chain on a finite state space of cardinal p+1, with transition probabilities >0->0, we associate a set of p martingales related to the jumps of the chain. We prove that this set of martingales can be used to represent random variables of the Markov chain, by means of homogeneous chaos expansions. The proof can be adapted to other results of this type such as Wiener or Poisson chaos expansions
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