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A Class of F-Doubly Stochastic Markov Chains


 
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1. Title Title of document A Class of F-Doubly Stochastic Markov Chains
 
2. Creator Author's name, affiliation, country Jecek Jakubowski; University of Warsaw; Poland
 
2. Creator Author's name, affiliation, country Mariusz Andrzej Nieweglowski; Warsaw University of Technology; Poland
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) $mathbb{F}$-doubly stochastic Markov chain; intensity;Kolmogorov equations, martingale characterization; sojourn time; predictablerepresentation theorem
 
3. Subject Subject classification Primary60G99;Secondary 60G55;60G44;60G17;60K99
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) Polish KBNGrant P03A 034 29 ``Stochastic evolution equations driven by L'evy noise''and Polish MNiSW grant N N201 547838.
 
7. Date (YYYY-MM-DD) 2010-11-05
 
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/815
 
10. Identifier Digital Object Identifier 10.1214/EJP.v15-815
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 15
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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