A Class of F-Doubly Stochastic Markov Chains

Jecek Jakubowski (University of Warsaw)
Mariusz Andrzej Nieweglowski (Warsaw University of Technology)


We define a new class of processes, very useful in applications, $\mathbf{F}$-doubly stochastic Markov chains which contains among others Markov chains. This class is fully characterized by some 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.

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Pages: 1743-1771

Publication Date: November 5, 2010

DOI: 10.1214/EJP.v15-815


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