Markov chains generated by maximizing components of multidimensional extremal processes

John K. Dagsvik

Stochastic Processes and their Applications, 1988, vol. 28, issue 1, 31-45

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.

Keywords: extremal; processes; excursion; time; inhomogeneous; Markov; chains; random; utility; models (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (8)

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