On Markov Chains and Filtrations

Peter Spreij
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Peter Spreij: Vrije Universiteit Amsterdam

No 97-029/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In this paper we rederive some well known results for continuous time Markov processes that live on a finite state space.Martingale techniques are used throughout the paper. Special attention is paid to the construction of a continuous timeMarkov process, when we start from a discrete time Markov chain. The Markov property here holds with respect tofiltrations that need not be minimal.

Date: 1997-02-27
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:19970029

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