A Note on Independence Copula for Conditional Markov Chains-Reference-Cited by-同舟云学术

A Note on Independence Copula for Conditional Markov Chains

Published:2017 Issue: Volume: Page:303-321
ISSN:1069-5265
Container-title:Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science
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Author:

Bielecki Tomasz R.,Jakubowski Jacek,Niewęgłowski Mariusz

Publisher

Springer New York

Link

http://link.springer.com/content/pdf/10.1007/978-1-4939-6969-2_10

Reference11 articles.

1. Ball, F., Milne, R.K., Yeo, G.F.: Continuous-time Markov chains in a random environment, with applications to ion channel modelling. Adv. in Appl. Probab. 26(4), 919–946 (1994). DOI 10.2307/1427898. URL http://dx.doi.org/10.2307/1427898

2. Ball, F., Yeo, G.F.: Lumpability and marginalisability for continuous-time Markov chains. J. Appl. Probab. 30(3), 518–528 (1993)

3. Biagini, F., Groll, A., Widenmann, J.: Intensity-based premium evaluation for unemployment insurance products. Insurance Math. Econom. 53(1), 302–316 (2013). DOI 10.1016/j.insmatheco.2013.06.001. URL http://dx.doi.org/10.1016/j.insmatheco.2013.06.001

4. Bielecki, T.R., Jakubowski, J., Niewęgłowski, M.: Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae. Electron. J. Probab. 18, no. 45, 21 (2013). DOI 10.1214/EJP.v18-2238. URL http://dx.doi.org/10.1214/EJP.v18-2238

5. Bielecki, T.R., Jakubowski, J., Niewęgłowski, M.: Conditional Markov chains, part I: construction and properties (2015). URL http://arxiv.org/abs/1501.05531

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