# Questions tagged [markov-process]

A stochastic process satisfying the Markov property: the distribution of the future states given the value of the current state does not depend on the past states. Use this tag for general state space processes (both discrete and continuous times); use (markov-chains) for countable state space processes.

101 questions
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### What is the importance of the infinitesimal generator of Brownian motion?

I have read that the infinitesimal generator of Brownian motion is $\frac{1}{2}\small\triangle$. Unfortunately, I have no background in semigroup theory, and the expositions of semigroup theory I have ...
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### Transformation of state-space that preserves Markov property

I am solving a problem in Mathematical Statistics by Jun Shao Let $\{X_n \}$ be a Markov chain. Show that if $g$ is a one-to-one Borel function, then $\{g(X_n )\}$ is also a Markov chain. Give an ...
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### Show that the carré du champ operator is nonnegative

Let $(E,\mathcal E)$ be a measurable space $\mathcal M_b(E,\mathcal E):=\left\{f:E\to\mathbb R\mid f\text{ is bounded and }\mathcal E\text{-measurable}\right\}$ $(\kappa_t)_{t\ge0}$ be a Markov ...
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### Building a hidden markov model with an absorbing state.

I'm working on trying to implement a hidden markov model to model the affect of a specific protein that can cut an RNA when the ribosome is translating the RNA slowly. Some brief background: The ...
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### Markov property w.r.t. a countable state space

Background Let $\left(X_t\right)_{t \in I}$ ($I\subseteq\mathbb R$) be an $E$-valued stochastic process ($E$ being a Polish space with the Borel $\sigma$-algebra $\mathcal{B}\left(E\right)$) equipped ...
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### Markov Chain and Forward and Backward Probabilities with Alice and Bob

System Alice and Bob are moving independently from one city to another. There are $d$ cities, the probability of moving to another city (for each individual) is $m$ and each move is equiprobable (...
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### A Markov process which is not strong Markov process (follow up 2)

In https://mathoverflow.net/questions/43833/a-markov-process-which-is-not-a-strong-markov-process George Lowther's example: "Consider the following continuous Markov process $X$, starting from ...
I have encountered a number of situations where the solution of a PDE and a certain expectation associated to a Markov process are equal. Two examples include: The heat equation $u_t = \frac{1}{2} \... 1answer 122 views ### Steps of a Markov chain subordinated to a Poisson process Let$(\Omega,\mathcal A,\operatorname P)$be a probability space$\left(Y^{(n)}_k\right)_{k\in\mathbb N_0}$be a time-homogeneous Markov chain on$(\Omega,\mathcal A,\operatorname P)D([0,1]):=\...
Could you, please, help me figure out the following problem. We call a stationary Gaussian process $\xi_t$ (with continuous paths) an Ornstein-Uhlenbeck process if its correlation function \$\mathbb{...