Jump Processes

1 Overview

A jump process is a continuous time Markov chain, i.e. a stochastic process in continuous time with a countable state space \(S\). It sits in the continuous-time, countable-state corner of the classification in Markov Process.

2 Contents

Read the chapters in this order.

2. times.
4. generator and Kolmogorov backward equations (see also Kolmogorov Equations and Infinitesimal Generator).

3 Examples

• Birth-Death Processes
• Poisson Process

Backlinks

• Jump Process Generator & Backwards Equations
• Jump Process Stability & Regularity
• Markov Chains
• Markov Process
• Poisson Process