Conditional Markov chains – construction and properties
Volume 105 / 2015
Banach Center Publications 105 (2015), 33-42
MSC: Primary 60J27; Secondary 60G55, 60G44, 60J75.
DOI: 10.4064/bc105-0-2
Abstract
In this paper we study finite state conditional Markov chains (CMCs). We give two examples of CMCs, one which admits intensity, and another one, which does not admit an intensity. We also give a sufficient condition under which a doubly stochastic Markov chain is a CMC. In addition we provide a method for construction of conditional Markov chains via change of measure.
