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 Electronic Journal of Probability > Vol. 15(2010) > Paper 56 open journal systems 


A class of F-doubly stochastic Markov chains

Jecek Jakubowski, University of Warsaw
Mariusz Andrzej Niewęgłowski, Warsaw University of Technology


Abstract
We define a new class of processes, very useful in applications, 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.


Full text: PDF

Pages: 1743-1771

Published on: November 5, 2010
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Electronic Journal of Probability. ISSN: 1083-6489