Abstract
We define a new class of processes, very useful in applications, $\mathbb{F}$-doubly stochastic Markov chains which contains among others Markov chains. This class is fully characterized by s ome martingale properties, and one of them is new even in the case of Markov chains. Moreover a predictable representation theorem holds and doubly stochastic property is preserved under natural change of measure.
Citation
Jecek Jakubowski. Mariusz Nieweglowski. "A Class of $\mathbb{F}$-Doubly Stochastic Markov Chains." Electron. J. Probab. 15 1743 - 1771, 2010. https://doi.org/10.1214/EJP.v15-815
Information