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On Markov Chains and Filtrations

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  • Peter Spreij

    (Vrije Universiteit Amsterdam)

Abstract

In this paper we rederive some well known results for continuous time Markov processes that live on a finite state space.Martingale techniques are used throughout the paper. Special attention is paid to the construction of a continuous timeMarkov process, when we start from a discrete time Markov chain. The Markov property here holds with respect tofiltrations that need not be minimal.

Suggested Citation

  • Peter Spreij, 1997. "On Markov Chains and Filtrations," Tinbergen Institute Discussion Papers 97-029/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:19970029
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