Self-exciting counting process systems with finite state space

Peter Spreij

Stochastic Processes and their Applications, 1990, vol. 34, issue 2, 275-295

Abstract: Stochastic systems with counting process output and a finite state space are considered. This leads to studying processes with finite state space that are Markovian with respect to the flow of [sigma]-algebras, that is generated by the counting process. It appears that there is a close relationship between the transition intensities of the Markov process and the intensity of the counting process. Some consequences for a stochastic realization problem are then studied.

Keywords: counting; process; *; Markov; process; *; stochastic; realization; theory (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (2)

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