Integer valued Markov processes and exponential families

We characterize all continuous-time Markov Processes on the set of integers such that their distribution at any instant is in a natural exponential family with one parameter. A complete description of birth and death processes having this property is given. They include linear growth birth and death processes as well as new examples which are explicitly treated. AMS 1980 Subject Classifications: 60J25, 62E10

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Year of publication:	1992
Authors:	Ycart, Bernard
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 14.1992, 1, p. 71-78
Publisher:	Elsevier
Keywords:	Markov processes exponential families birth and death processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223647