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Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae
2.	Creator	Author's name, affiliation, country	Tomasz R. Bielecki; Illinois Institute of Technology; United States
2.	Creator	Author's name, affiliation, country	Jacek Jakubowski; University of Warsaw and Warsaw University of Technology; Poland
2.	Creator	Author's name, affiliation, country	Mariusz Niewęgłowski; Warsaw University of Technology; Poland
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Multivariate Markov chain; compensator of random measure; dependence; marginal law; Markov consistency; Markov copulae.
3.	Subject	Subject classification	60J27; 60G55
4.	Description	Abstract	In this paper we examine the problem of existence and construction of multivariate Markov chains such that their components are Markov chains with given laws. Specifically, we provide sufficient and necessary conditions, in terms of semimartingale characteristics, for a component of a multivariate Markov chain to be a Markov chain in its own filtration - a property called weak Markov consistency. Accordingly, we introduce and discuss the concept of weak Markov copulae. Finally, we examine relationship between the concepts of weak Markov consistency and weak Markov copulae, and the corresponding strong versions of these concepts.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)	NSF Grant DMS-0908099 and NSF Grant DMS-1211256, and Polish MNiSW grant N N201 547838
7.	Date	(YYYY-MM-DD)	2013-03-31
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/2238
10.	Identifier	Digital Object Identifier	10.1214/EJP.v18-2238
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 18
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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