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.
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 |