Displaying similar documents to “Occupation laws for some time-nonhomogeneous Markov chains.”

On absorption times and Dirichlet eigenvalues

Laurent Miclo (2010)

ESAIM: Probability and Statistics

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This paper gives a stochastic representation in spectral terms for the absorption time of a finite Markov chain which is irreducible and reversible outside the absorbing point. This yields quantitative informations on the parameters of a similar representation due to O'Cinneide for general chains admitting real eigenvalues. In the discrete time setting, if the underlying Dirichlet eigenvalues (namely the eigenvalues of the Markov transition operator restricted to the functions vanishing...

Central limit theorem for hitting times of functionals of Markov jump processes

Christian Paroissin, Bernard Ycart (2004)

ESAIM: Probability and Statistics

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A sample of i.i.d. continuous time Markov chains being defined, the sum over each component of a real function of the state is considered. For this functional, a central limit theorem for the first hitting time of a prescribed level is proved. The result extends the classical central limit theorem for order statistics. Various reliability models are presented as examples of applications.

The chain records.

Gnedin, Alexander V. (2007)

Electronic Journal of Probability [electronic only]

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