Jump measure of a Markov jump process

ID: jump-measure-of-a-markov-jump-process

For a Markov jump process with off-diagonal rate kernel , the jump measure records the jump time and the destination state. Relative to a filtration for which the process has the Markov jump property, its predictable compensator is the displayed rate measure, up to explosion. The corresponding generator is . An enlarged filtration revealing future jumps need not preserve this compensator, so the filtration condition is essential.

New to topics? Read the docs here!