Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1997-02-27
Number: 97-029/4
Author-Name: Peter Spreij
Author-Workplace-Name: Vrije Universiteit Amsterdam
Title: On Markov Chains and Filtrations
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.
File-Url: https://papers.tinbergen.nl/97029.pdf
File-Format: application/pdf
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Handle: RePEc:tin:wpaper:19970029