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Stochastic Analysis and Diffusion Processes$
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Stochastic Analysis and Diffusion Processes

Gopinath Kallianpur and P Sundar

Print publication date: 2014

Print ISBN-13: 9780199657063

Published to Oxford Scholarship Online: April 2014

DOI: 10.1093/acprof:oso/9780199657063.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2022. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use.date: 02 July 2022

Jump Markov Processes

Jump Markov Processes

Chapter:
(p.266) 10 Jump Markov Processes
Source:
Stochastic Analysis and Diffusion Processes
Author(s):

Gopinath Kallianpur

P. Sundar

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199657063.003.0010

After introducing Poisson processes, the form of their generators is explained. Jump Markov processes, generators, and explosion times are discussed. Skorohod space is introduced, and the proof of the Itô formula for Poisson processes is outlined. Diffusion approximation is studied at the end of the chapter.

Keywords:   Poisson process, compound Poisson process, jump Markov process, Skorohod space, diffusion approximation

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