Invariant measures for Q-processes when Q is not regular

Invariant measures for Q-processes when Q is not regular

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Article ID: iaor19921902
Country: United Kingdom
Volume: 23
Issue: 2
Start Page Number: 277
End Page Number: 292
Publication Date: Jun 1991
Journal: Advances in Applied Probability
Authors:
Abstract:

The problem of determining invariant measures for continuous-time Markov chains directly from their transition rates is considered. The major result provides necessary and sufficient conditions for the existence of a unique ‘single-exit’ chain with a specified invariant measure. This generalizes a result of Hou Chen-Ting and Chen Mufa that deals with symmetrically reversible chains. A simple sufficient condition for the existence of a unique honest chain for which the specified measure is invariant is also presented.

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