Integration by Parts and Martingale Representation for a Markov Chain

Integration by Parts and Martingale Representation for a Markov Chain

Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-time, finite-state Markov chain are derived using Bismut's change of measures approach to Malliavin calculus. New expressions for the integrands in stochastic integrals corresponding to representa...

Full description

Saved in:

Bibliographic Details
Main Author:	Tak Kuen Siu
Format:	Article
Language:	English
Published:	Wiley 2014-01-01
Series:	Abstract and Applied Analysis
Online Access:	http://dx.doi.org/10.1155/2014/438258
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Convergence of Locally Square Integrable Martingales to a Continuous Local Martingale
by: Andriy Yurachkivsky
Published: (2011-01-01)

Martingale Morrey-Campanato Spaces and Fractional Integrals
by: Eiichi Nakai, et al.
Published: (2012-01-01)

A note on dilations and martingales
by: Martin L. Jones
Published: (1993-01-01)

On Limiting Distributions of Quantum Markov Chains
by: Chaobin Liu, et al.
Published: (2011-01-01)

A Bayesian model for binary Markov chains
by: Souad Assoudou, et al.
Published: (2004-01-01)

Dynamic system evolution and markov chain approximation
by: Roderick V. Nicholas Melnik
Published: (1998-01-01)

Atomic decompositions of Lorentz martingale spaces and applications
by: Jiao Yong, et al.
Published: (2009-01-01)

Analysis of Investment Returns as Markov Chain Random Walk
by: Felix Okoe Mettle, et al.
Published: (2024-01-01)

Complete Convergence for Moving Average Process of Martingale Differences
by: Wenzhi Yang, et al.
Published: (2012-01-01)

Local asymptotic normality of statistical models of discrete martingales
by: Vaidotas Kanišauskas
Published: (2023-11-01)

On vector-valued Hardy martingales and a generalized Jensen's inequality
by: Annela R. Kelly, et al.
Published: (2003-01-01)

A Martingale-Free Introduction to Conditional Gaussian Nonlinear Systems
by: Marios Andreou, et al.
Published: (2024-12-01)

Dimension reduction for maximum matchings and the Fastest Mixing Markov Chain
by: Jain, Vishesh, et al.
Published: (2023-07-01)

The combinational structure of non-homogeneous Markov chains with countable states
by: A. Mukherjea, et al.
Published: (1983-01-01)

The Rise of Markov Chain Monte Carlo Estimation for Psychometric Modeling
by: Roy Levy
Published: (2009-01-01)

Vehicle Driving Risk Prediction Based on Markov Chain Model
by: Xiaoxia Xiong, et al.
Published: (2018-01-01)

Multi-Dimensional Markov Chains of M/G/1 Type
by: Valeriy Naumov, et al.
Published: (2025-01-01)

A Markov Chain Position Prediction Model Based on Multidimensional Correction
by: Sijia Chen, et al.
Published: (2021-01-01)

First Passage Time of a Markov Chain That Converges to Bessel Process
by: Moussa Kounta
Published: (2017-01-01)

A dynamic Markov chain prediction model for delay-tolerant networks
by: Il-kyu Jeon, et al.
Published: (2016-09-01)

Characterization Theorems for Generalized Functionals of Discrete-Time Normal Martingale
by: Caishi Wang, et al.
Published: (2015-01-01)

Analysis of Exchange Rates as Time-Inhomogeneous Markov Chain with Finite States
by: Felix O. Mettle, et al.
Published: (2022-01-01)

Retracted: Algorithm of Classroom Teaching Quality Evaluation Based on Markov Chain
by: null Complexity
Published: (2023-01-01)

Optimal Payments to Connected Depositors in Turbulent Times: A Markov Chain Approach
by: Dávid Csercsik, et al.
Published: (2018-01-01)

Forecasting Precipitation Using a Markov Chain Model in the Coastal Region in Bangladesh
by: Al Mamun Pranto, Usama Ibn Aziz, Lipon Chandra Das, Sanjib Ghosh and Anisul Islam
Published: (2024-12-01)

The Convergence of Double-Indexed Weighted Sums of Martingale Differences and Its Application
by: Wenzhi Yang, et al.
Published: (2014-01-01)

Convergence Theorems for Generalized Functional Sequences of Discrete-Time Normal Martingales
by: Caishi Wang, et al.
Published: (2015-01-01)

An exact bound for tail probabilities for a class of conditionally symmetric bounded martingales
by: Dainius Dzindzalieta
Published: (2023-09-01)

Real-time predication and navigation on traffic congestion model with equilibrium Markov chain
by: Yan Zheng, et al.
Published: (2018-04-01)

Modeling land use changes using Markov chain model and LCM model
by: mohammad ebrahim afifi
Published: (2020-03-01)

Estimation Markov Decision Process of Multimodal Trip Chain between Integrated Transportation Hubs in Urban Agglomeration Based on Generalized Cost
by: Min Yue, et al.
Published: (2022-01-01)

A Fast and Efficient Markov Chain Monte Carlo Method for Market Microstructure Model
by: Sun Yapeng, et al.
Published: (2021-01-01)

Convergence Rates in the Law of Large Numbers for Arrays of Banach Valued Martingale Differences
by: Shunli Hao
Published: (2013-01-01)

Quantum Stochastic Cable Equation Acting on Functionals of Discrete-Time Normal Martingales
by: Yuling Tang, et al.
Published: (2019-01-01)

Non-homogeneous Markov chains with a finite state space and a Doeblin type theorem
by: Rita Chattopadhyay
Published: (1995-01-01)

Characterization of the Collagen Extraction Manufacturing Process Using Markov Chains and Artificial Neural Networks
by: Rosa Trasvina-Osorio, et al.
Published: (2025-01-01)

Estimation of Urban Link Travel Time Distribution Using Markov Chains and Bayesian Approaches
by: Wenwen Qin, et al.
Published: (2018-01-01)

Analysis of the Spell of Rainy Days in Lake Urmia Basin using Markov Chain Model
by: Khadijeh Javan
Published: (2016-12-01)

A uniform estimate for the rate of convergence in the multidimensional central limit theorem for homogeneous Markov chains
by: M. Gharib
Published: (1996-01-01)

Multiobjective Lightning Flash Algorithm Design and Its Convergence Analysis via Martingale Theory
by: Jiandong Duan, et al.
Published: (2020-01-01)