Please use this identifier to cite or link to this item: http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/8067
Title: Semimartingale Representation of a Class of Semi-Markov Dynamics
Authors: GOSWAMI, ANINDYA
Saha, Subhamay
YADAV, RAVISHANKAR KAPILDEV
Dept. of Mathematics
Keywords: Poisson random measure
Non-homogeneous semi-Markov processes
Semi-Markov system
2023-JUN-WEEK4
TOC-JUN-2023
2024
Issue Date: Mar-2024
Publisher: Springer
Citation: Journal of Theoretical Probability, 37, 489–510.
Abstract: We consider a class of semi-Markov processes (SMP) such that the embedded discrete-time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using a stochastic integral equation involving a Poisson random measure. The existence and uniqueness of the equation are established. Subsequently, we show that the solution is indeed a SMP with desired transition rate. Finally, we derive the law of the bivariate process obtained from two solutions of the equation having two different initial conditions.
URI: https://doi.org/10.1007/s10959-023-01259-4
http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/8067
ISSN: 0894-9840
1572-9230
Appears in Collections:JOURNAL ARTICLES

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