Markov processes and exponential families

Bernard Ycart

Stochastic Processes and their Applications, 1992, vol. 41, issue 2, 203-214

Abstract: We study Markov processes the distribution of which stays for some interval of time in a given exponential family of distributions with one parameter. We show that the generator of such a process can be canonically associated to the generator of a Markov process on , having the same stability property with respect to a natural exponential family of distributions on . Examples of spin systems on a finite set and of Brownian motions on illustrate the results.

Keywords: Markov; processes; exponential; families (search for similar items in EconPapers)
Date: 1992
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