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Markov chains generated by maximizing components of multidimensional extremal processes

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  • Dagsvik, John K.

Abstract

A multidimensional inhomogeneous extremal process is defined and it is demonstrated that it belongs to the class of pure jump Markov processes. Let {Zj(t)} be the jth component of the process. Let {J(t)} be a finite state process defined by J(t)=j if Zj(t)=maxkZk(t). It is proved that {J(t)} is an inhomogeneous Markov chain and the transition probabilities of this chain are obtained. The chain {J(t)} provides a framework for modelling mobility processes that are generated from intertemporal utility-maximizing individuals.

Suggested Citation

  • Dagsvik, John K., 1988. "Markov chains generated by maximizing components of multidimensional extremal processes," Stochastic Processes and their Applications, Elsevier, vol. 28(1), pages 31-45, April.
    • Handle: RePEc:eee:spapps:v:28:y:1988:i:1:p:31-45
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    Citations

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    Cited by:

    1. Paolo Delle Site, 2017. "On the Equivalence Between SUE and Fixed-Point States of Day-to-Day Assignment Processes with Serially-Correlated Route Choice," Networks and Spatial Economics, Springer, vol. 17(3), pages 935-962, September.
    2. Dagsvik, John K., 2012. "Behavioral Multistate Duration Models: What should they look like ?," Memorandum 17/2012, Oslo University, Department of Economics.
    3. Erik Biørn & Hild-Marte Bjørnsen, 2015. "What motivates farm couples to seek off-farm labour? A logit analysis of job transitions," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 42(2), pages 339-365.
    4. John K. Dagsvik, 1996. "Dynamic Choice, Multistate Duration Models and Stochastic Structure," Discussion Papers 172, Statistics Norway, Research Department.
    5. Dagsvik, John K. & Wennemo, Tom & Wetterwald, Dag G. & Aaberge, Rolf, 2002. "Potential demand for alternative fuel vehicles," Transportation Research Part B: Methodological, Elsevier, vol. 36(4), pages 361-384, May.
    6. John K. Dagsvik, 2012. "Behavioral multistate duration models. What should they look like?," Discussion Papers 688, Statistics Norway, Research Department.
    7. Dagsvik, John K., 2006. "Justifying Functional Forms in Models for Transitions between Discrete States, with Particular Reference to Employment-Unemployment Dynamics," Memorandum 06/2006, Oslo University, Department of Economics.

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