Conditional Markov Chains Part II: Consistency and Copulae
Probability
2015-12-01 v2
Abstract
In this paper we continue the study of conditional Markov chains (CMCs) with finite state spaces, that we initiated in Bielecki, Jakubowski and Niew\k{e}g\l owski (2015). Here, we turn our attention to the study of Markov consistency and Markov copulae with regard to CMCs, and thus we follow up on the study of Markov consistency and Markov copulae for ordinary Markov chains that we presented in Bielecki, Jakubowski and Niew\k{e}g\l owski (2013).
Keywords
Cite
@article{arxiv.1501.05535,
title = {Conditional Markov Chains Part II: Consistency and Copulae},
author = {Tomasz R. Bielecki and Jacek Jakubowski and Mariusz Niewęgłowski},
journal= {arXiv preprint arXiv:1501.05535},
year = {2015}
}