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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.
Author details: | Paolo Dai Pra, Pierre-Yves Louis, Ida G. Minelli |
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URN: | urn:nbn:de:kobv:517-opus-18286 |
Publication series (Volume number): | Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint (2008, 01) |
Publication type: | Preprint |
Language: | German |
Publication 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): | Keine öffentliche Lizenz: Unter Urheberrechtsschutz |