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A Class of F-Doubly Stochastic Markov Chains

   
@article{EJP815,
	author = {Jecek Jakubowski and Mariusz Nieweglowski},
	title = {A Class of F-Doubly Stochastic Markov Chains},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {15},
	year = {2010},
	keywords = {\$mathbb\{F\}\$-doubly stochastic Markov chain; intensity;Kolmogorov equations, martingale characterization; sojourn time; predictablerepresentation theorem},
	abstract = {We define a new class of processes, very useful in applications, $\mathbf{F}$-doubly stochastic Markov chains which contains among others Markov chains. This class is fully characterized by some 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.},
	pages = {no. 56, 1743-1771},
	issn = {1083-6489},
	doi = {10.1214/EJP.v15-815},    
        url = {http://ejp.ejpecp.org/article/view/815}}