Timeline for Preservation of the Markov Property under Conditioning
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 22, 2021 at 12:36 | comment | added | Iosif Pinelis | @Joe_Affine : It probably should be an exercise/remark in some book on Markov processes/chains, but I don't know such a reference. | |
| Jun 22, 2021 at 12:34 | history | edited | Iosif Pinelis | CC BY-SA 4.0 |
added 284 characters in body
|
| Jun 22, 2021 at 12:26 | comment | added | Joe_Affine | Do you know were I can find a reference to this later fact? | |
| Jun 22, 2021 at 12:15 | comment | added | Iosif Pinelis | That's right, here basically we use the fact that, if $(X_t)$ is Markov, then $(f(X_t))$ does not have to be Markov. | |
| Jun 22, 2021 at 12:12 | comment | added | Joe_Affine | Amazing example, but if I left out $f$ and instead considered $(\mathbb{E}(X_t)|mathcal{G}_t])_t$ would this always be Markovian (since it seems the trucation of $\max\{0,\cdot\}$ causes the issue. | |
| Jun 22, 2021 at 12:05 | vote | accept | Joe_Affine | ||
| Jun 22, 2021 at 12:02 | history | answered | Iosif Pinelis | CC BY-SA 4.0 |