Abstract
In this paper we contribute to the theory of conditional Markov chains (CMCs) that take finitely many values and that admit intensity. We provide a method for constructing a CMC with given intensity and with given conditional initial law, and which is also a doubly stochastic Markov chain. We provide a martingale characterization for such process, and we discuss other useful properties. We define and give sufficient and necessary conditions for strong Markovian consistency and weak Markovian consistency of a multivariate CMC. We use these results to model structured dependence between univariate CMCs, that is, to model a multivariate CMC whose components are univariate CMCs with given laws. An example of potential application of our theory is presented.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.