Conditional Markov Chain Structures
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski · Cambridge University Press eBooks · 2020
In this chapter we extend the theory of Markov structures from the universe of classical (finite) Markov chains to the universe of (finite) conditional Markov chains. As it turns out such extension is not a trivial one. But, it is quite important both from the mathematical point of view and from the practical point of view. We will first discuss the strong conditional Markov chain structures, and then we will study the concept of the weak conditional Markov chain structures.