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Forward and reverse representations for Markov chains

Please always quote using this URN:urn:nbn:de:0296-matheon-4034
  • In this paper we carry over the concept of reverse probabilistic representa- tions developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion pro- cesses, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are connected with jump-diffusion models and finite state Markov chains. By combining forward and reverse representations we then construct transition density esti- mators for chains which have root-N accuracy in any dimension and consider some applications.

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Metadaten
Author:Grigori Milstein, John Schoenmakers, Vladimir Spokoiny
URN:urn:nbn:de:0296-matheon-4034
Referee:Peter Imkeller
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2008/01/22
Release Date:2008/01/17
Institute:Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
Preprint Number:426
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