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math.PR2015★ 3 cited
Conditional Markov Chains Part II: Consistency and Copulae
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski
In this paper we continue the study of conditional Markov chains (CMCs) with finite state spaces, that we initiated in Bielecki, Jakubowski and Niewęgłowski (2015). Here, we turn o…
math.PR2015★ 2 cited
Conditional Markov Chains Revisited Part I: Construction and properties
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski
In this paper we continue the study of conditional Markov chains (CMCs) with finite state spaces, that we initiated in Bielecki, Jakubowski and Niewęgłowski (2014a) in an effort to…