Markov Chain of Stochastic Processes

  • #1
I would like to construct a model using a markov chain that has different stochastic processes for each state in the chain. Is there a term for such a thing, or anything similar to it?
Thanks
 

Answers and Replies

  • #3
i found something similar to what I'm looking for in this paper:
HS Chang, "Multitime Scale Markov Decision Processes", 2003
 

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