Markov Pure Jump的一般处理方法 核心思想就是先抽象一个实际问题。找到一些系统可能有的状态作为state space。 然后判断Markov性质。如果有的话,先找随机变量变化时间的分布,然后再找变化概率的分布。从而构造了这个Markov Process的抽象模型。 然后从embedded chain来看是否有irreducible closed set。之后看emedded chain...
This paper considers a two-person zero-sum continuous-time Markov pure jump game in Borel state and action spaces over a fixed finite horizon. The main assumption on the model is the existence of a drift function, which bounds the reward rate. Under some regularity conditions, we show that ...
一个标准的泊松过程 (Nt)t∈R+ 是一个连续时间的计数过程(continuous-time counting process),因为他只加不减,只会有 +1 的情况(我们叫它跳跃jump吧),两个跳跃之间的时间的不变且右连续的。 如下图 我们用 Tk=inf{t∈R+:Nt=k} 来表示第 k 次跳跃的时间(上图的横坐标) 我们可以用 Tk 来表示 Nt ...
In this paper we discuss weak convergence of continuous-time Markov chains to\na non-symmetric pure jump process. We approach this problem using Dirichlet\nforms as well as semimartingales. As an application, we discuss how to\napproximate a given Markov process by Markov chains.Ante Mimica...
9 RegisterLog in Sign up with one click: Facebook Twitter Google Share on Facebook Markov chain (redirected fromMarkov model) Thesaurus Medical Encyclopedia Related to Markov model:Markov process,Hidden Markov model Markov chain (ˈmɑːkɒf) ...
Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics find closed-form solutions for the optimal value function in the case of pure-jump models with jump-size distributions modulated by a two-state Markov ... M Junca,R Serrano - 《Arxiv Portfol...
By using stochastic calculus for pure jump martingales, we study a class of infinite-dimensional birth-and-death processes. A technique, based on a relativ... Ingemar,Kaj - 《Stochastic Processes & Their Applications》 被引量: 1发表: 1988年 Birth and death processes and Markov chains General ...
This paper concerns a partially observable finite horizon control problem for -valued pure Markov jump process using the information given by the point process which counts the total number of jumps. Equivalence between the partially observable control problem and the separated control problem is ...
However, as we limited our considerations to pure strategies in most of the paper, we have decided to present this result in this weaker form. To formulate the next result, which will link equilibria of mean-field game \(\Gamma \) with approximate equilibria of games \(\Gamma _n\), we...
The following sections are included:IntroductionSymmetric Statistics and Multiple Wiener IntegralsThe Case of Pure Jump Type Markov ProcessesThe Case of McKean's Model of Boltzmann's EquationThe Case of Diffusion ProcessesReferences#Intr... T Shiga,H Tanaka - Stochastic Processes:Selected Papers of Hir...