Conditional Markov Chains Part II: Consistency and Copulae
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski · arXiv (Cornell University) · 2015
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 our attention to the study of Markov consistency and Markov copulae with regard to CMCs, and thus we follow up on the study of Markov consistency and Markov copulae for ordinary Markov chains that we presented in Bielecki, Jakubowski and Niewęgłowski (2013).