Displaying similar documents to “Products of stochastic matrices and applications.”

The risk-sensitive Poisson equation for a communicating Markov chain on a denumerable state space

Rolando Cavazos-Cadena (2009)

Kybernetika

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This work concerns a discrete-time Markov chain with time-invariant transition mechanism and denumerable state space, which is endowed with a nonnegative cost function with finite support. The performance of the chain is measured by the (long-run) risk-sensitive average cost and, assuming that the state space is communicating, the existence of a solution to the risk-sensitive Poisson equation is established, a result that holds even for transient chains. Also, a sufficient criterion...

(Homogeneous) markovian bridges

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...

Technical comment. A problem on Markov chains

Franco Giannessi (2010)

RAIRO - Operations Research

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A problem (arisen from applications to networks) is posed about the principal minors of the matrix of transition probabilities of a Markov chain.