A representation result for finite Markov chains

Peter Spreij

Statistics & Probability Letters, 1998, vol. 38, issue 2, 183-186

Abstract: In this short paper we derive a representation result in terms of a solution to a stochastic differential equation that is valid for both continuous and discrete time Markov processes that live on a finite state space. Martingale techniques are used throughout the paper.

Keywords: Markov; chain; Stochastic; differential; equation; Martingale (search for similar items in EconPapers)
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(98)00005-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:38:y:1998:i:2:p:183-186

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().