A representation result for finite Markov chains

Statistics and Probability Letters

Volumn 38, Issue 2, 1998, Pages 183-186

  Spreij, Peter ^a  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Markov chain; Martingale; Stochastic differential equation

Indexed keywords

EID: 0032084153     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(98)00005-4     Document Type: Article

References (6)

1. Breiman, L., 1968. Probability. Addison-Wesley, Reading, MA.
2. Elliott, R.J., Aggoun, L., Moore, J.B., 1995. Hidden Markov Models. Estimation and Control. Springer, Berlin.
3. Deltacherie, C., Meyer, P.A., 1980. Probabilités et Potentiel. Hermann.
4. Gill, R.D., Johansen, S., 1991. A survey of product-integration with a view toward application in survival analysis. Ann. Statist. 18, 1501-1555.
5. Jacod, J., 1979. Calcul Stochastique et Problèmes de Martingales, Lecture Notes in Mathematics, vol. 714. Springer, Berlin.
6. Spreij, P.J.C., 1990. Self-exciting counting process systems with finite state space. Stoch. Proc. Appl. 34, 275-295.