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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Published in | Open mathematics (Warsaw, Poland) Vol. 20; no. 1; pp. 911 - 930 |
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Main Author | |
Format | Journal Article |
Language | English |
Published |
Warsaw
De Gruyter
05.09.2022
De Gruyter Poland |
Subjects | |
Online Access | Get full text |
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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 |