2006-05-02Buch DOI: 10.18452/3971
Forward and reverse representations for Markov chains
Milstein, Grigori N.
Spokoiny, Vladimir G.
In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, 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 estimators for chains which have root-N accuracy in any dimension and consider some applications.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 41, SFB 649 Papers, ISSN:1860-5664