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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 details:Paolo Dai Pra, Pierre-Yves Louis, Ida G. Minelli
Publication series (Volume number):Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint (2008, 01)
Publication type:Preprint
Completion year: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
DDC classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
License (German):License LogoUrheberrechtsschutz