Complete monotone coupling for Markov processes

  • We formalize and analyze the notions of monotonicity and complete monotonicity for Markov Chains in continuous-time, taking values in a finite partially ordered set. Similarly to what happens in discrete-time, the two notions are not equivalent. However, we show that there are partially ordered sets for which monotonicity and complete monotonicity coincide in continuoustime but not in discrete-time.

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Author:Paolo Dai Pra, Pierre-Yves Louis, Ida G. Minelli
Series (Serial Number):Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint (2008, 01)
Document Type:Preprint
Year of Completion:2008
Publishing Institution:Universität Potsdam
Release Date:2008/04/30
Tag:Markov processes; coupling; dynamical system representation; monotone random; monotonicity conditions; partial ordering
RVK - Regensburg Classification:SI 990
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
Extern / Extern
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht