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Markov chains generated by maximizing components of multidimensional extremal processes

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  • Dagsvik, John K.

Abstract

A multidimensional inhomogeneous extremal process is defined and it is demonstrated that it belongs to the class of pure jump Markov processes. Let {Zj(t)} be the jth component of the process. Let {J(t)} be a finite state process defined by J(t)=j if Zj(t)=maxkZk(t). It is proved that {J(t)} is an inhomogeneous Markov chain and the transition probabilities of this chain are obtained. The chain {J(t)} provides a framework for modelling mobility processes that are generated from intertemporal utility-maximizing individuals.

Suggested Citation

  • Dagsvik, John K., 1988. "Markov chains generated by maximizing components of multidimensional extremal processes," Stochastic Processes and their Applications, Elsevier, vol. 28(1), pages 31-45, April.
    • Handle: RePEc:eee:spapps:v:28:y:1988:i:1:p:31-45
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    Citations

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    Cited by:

    1. Dagsvik, John K., 2012. "Behavioral Multistate Duration Models: What should they look like ?," Memorandum 17/2012, Oslo University, Department of Economics.
    2. Erik Biørn & Hild-Marte Bjørnsen, 2015. "What motivates farm couples to seek off-farm labour? A logit analysis of job transitions," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 42(2), pages 339-365.
    3. John K. Dagsvik, 1996. "Dynamic Choice, Multistate Duration Models and Stochastic Structure," Discussion Papers 172, Statistics Norway, Research Department.
    4. Dagsvik, John K. & Wennemo, Tom & Wetterwald, Dag G. & Aaberge, Rolf, 2002. "Potential demand for alternative fuel vehicles," Transportation Research Part B: Methodological, Elsevier, vol. 36(4), pages 361-384, May.
    5. Dagsvik, John K., 2006. "Justifying Functional Forms in Models for Transitions between Discrete States, with Particular Reference to Employment-Unemployment Dynamics," Memorandum 06/2006, Oslo University, Department of Economics.
    6. Paolo Delle Site, 2017. "On the Equivalence Between SUE and Fixed-Point States of Day-to-Day Assignment Processes with Serially-Correlated Route Choice," Networks and Spatial Economics, Springer, vol. 17(3), pages 935-962, September.
    7. John K. Dagsvik, 2012. "Behavioral multistate duration models. What should they look like?," Discussion Papers 688, Statistics Norway, Research Department.

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