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arXiv 1105.2679math.PR
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多元马尔可夫链的复杂依赖性:弱马尔可夫一致性和马尔可夫Copula

Intricacies of Dependence between Components of Multivariate Markov Chains: Weak Markov Consistency and Markov Copulae

Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski

摘要:

本文继续研究了马尔可夫相容性和马尔可夫Copula。特别地,我们刻画了有限马尔可夫链的弱马尔可夫相容性。在弱马氏一致性和强马氏一致性的背景下,讨论了多元马尔可夫链的分量之间的依赖关系。在这方面,我们还引进并讨论了弱马尔可夫Copula的概念。

英文摘要:

This article continues our study of Markovian consistency and Markov copulae. In particular, we characterize the weak Markovian consistency for finite Markov chains. We discuss some aspects of dependence between the components of a multivariate Markov chain in the context of weak Markovian consistency and strong Markovian consistency. In this connection, we also introduce and discuss the concept of weak Markov copulae.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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