ABSTRACT
In this chapter we provide a brief account of the theory of Markov consistency and the theory of Markov copulas, keeping the technical detail to a minimum. We refer to the existing literature (cf. Bielecki, Jakubowski, and Niewe¸glowski (2012, 2013) and the references there) for a more comprehensive exposition. The main objective of the theory of Markov copulas can be summarized as follows:
• Consider Y i, i = 1, . . . , n, a family of univariate Markov processes, defined on an underlying probability space (Ω,G,Q), taking values in R1 (more generally, in some locally compact separable topological space).
