Regularity of models associated with Markov jump processes

We consider a jump Markov process , with values in a state space . We suppose that the corresponding infinitesimal generator , hence the law of , depends on a parameter . We prove that several models (filtered or not) associated with are linked, by their regularity according to a certain scheme. In...

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Bibliographic Details
Published inOpen mathematics (Warsaw, Poland) Vol. 20; no. 1; pp. 911 - 930
Main Author Jedidi, Wissem
Format Journal Article
LanguageEnglish
Published Warsaw De Gruyter 05.09.2022
De Gruyter Poland
Subjects
62M20
65C20
Fisher information matrix
Hellinger integrals
infinitesimal generator
isomorphism
jump Markov process
likelihood processes
local regularity
Markov processes
randomization
Regularity
regularity of models
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Summary:We consider a jump Markov process , with values in a state space . We suppose that the corresponding infinitesimal generator , hence the law of , depends on a parameter . We prove that several models (filtered or not) associated with are linked, by their regularity according to a certain scheme. In particular, we show that the regularity of the model is equivalent to the local regularity of
ISSN:2391-5455
2391-5455
DOI:10.1515/math-2022-0482