Markov chains generated by maximizing components of multidimensional extremal processes
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- Discussion Papers [1004]
Sammendrag
A multidimensional inhomogenous extremal process is defined and it is
demonstrated that it belongs to the class of pure jump Markov processes.
Let {Z.(t)} be the j-th component of the process. Let {J(t)} be a finite
state arocess defined by J(t) j if Z.(t) max Z i,(t). It is proved that
{J(t)i is an inhomogenous Markov chaiR and the traRsition probabilities of
this chain are obtained. The chain {J(t)} provides a framework for modelling
mobility processes that are generated from intertemporal utilitymaximizing
individuals.
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