The tail structure of nonhomogeneous finite state Markov chains: survey
Marius Losifescu (1979)
Banach Center Publications
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Marius Losifescu (1979)
Banach Center Publications
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E. Nummelin, R. L. Tweedie (1976)
Annales scientifiques de l'Université de Clermont. Mathématiques
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Kalashnikov, Vladimir V. (1994)
Journal of Applied Mathematics and Stochastic Analysis
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Mariusz Górajski (2009)
Annales UMCS, Mathematica
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In this paper we consider an absorbing Markov chain with finite number of states. We focus especially on random walk on transient states. We present a graph reduction method and prove its validity. Using this method we build algorithms which allow us to determine the distribution of time to absorption, in particular we compute its moments and the probability of absorption. The main idea used in the proofs consists in observing a nondecreasing sequence of stopping times. Random walk on...
O. Adelman (1976)
Annales scientifiques de l'Université de Clermont. Mathématiques
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Vincent Vigon (2011)
Annales de l'I.H.P. Probabilités et statistiques
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(Homogeneous) Markov bridges are (time homogeneous) Markov chains which begin at a given point and end at a given point. The price to pay for preserving the homogeneity is to work with processes with a random life-span. Bridges are studied both for themselves and for their use in describing the transformations of Markov chains: restriction on a random interval, time reversal, time change, various conditionings comprising the confinement in some part of the state space. These bridges...
Leahu, Alexei (2001)
Analele Ştiinţifice ale Universităţii “Ovidius" Constanţa. Seria: Matematică
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Rosenthal, Jeffrey S. (2002)
Electronic Communications in Probability [electronic only]
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Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski (2015)
Banach Center Publications
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In this paper we study finite state conditional Markov chains (CMCs). We give two examples of CMCs, one which admits intensity, and another one, which does not admit an intensity. We also give a sufficient condition under which a doubly stochastic Markov chain is a CMC. In addition we provide a method for construction of conditional Markov chains via change of measure.
Hernández-Lerma, Onésimo, Lasserre, Jean B. (1995)
Journal of Applied Mathematics and Stochastic Analysis
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