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4 - Consistency of Finite Multivariate Conditional Markov Chains

from Part One - Consistencies

Published online by Cambridge University Press:  18 September 2020

Tomasz R. Bielecki
Affiliation:
Illinois Institute of Technology
Jacek Jakubowski
Affiliation:
Uniwersytet Warszawski, Poland
Mariusz Niewȩgłowski
Affiliation:
Politechnika Warszawska, Poland
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Summary

Conditional Markov Chains are an important class of stochastic processes, and thus, study of the related consistency problems is important. Finite conditional Markov chains generalize classical finite Markov chains. Thus, in many ways, the study of Markov consistency for finite multivariate conditional Markov chains done in this chapter is a generalization of the study done in Chapter 3. In particular, the results derived here are nicely illustrated by their counterparts given in the simpler set-up of Chapter 3.

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Publisher: Cambridge University Press
Print publication year: 2020

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