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A representation result for finite Markov chains

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  • Spreij, Peter

Abstract

In this short paper we derive a representation result in terms of a solution to a stochastic differential equation that is valid for both continuous and discrete time Markov processes that live on a finite state space. Martingale techniques are used throughout the paper.

Suggested Citation

  • Spreij, Peter, 1998. "A representation result for finite Markov chains," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 183-186, June.
    • Handle: RePEc:eee:stapro:v:38:y:1998:i:2:p:183-186
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    References listed on IDEAS

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    1. Spreij, Peter, 1990. "Self-exciting counting process systems with finite state space," Stochastic Processes and their Applications, Elsevier, vol. 34(2), pages 275-295, April.
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    Cited by:

    1. Spreij, Peter, 2001. "On the Markov property of a finite hidden Markov chain," Statistics & Probability Letters, Elsevier, vol. 52(3), pages 279-288, April.

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    1. Spreij, P., 1989. "Minimality and reducibility of conditionally poisson systems with finite state space," Serie Research Memoranda 0071, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

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