Future independent times and Markov chains (Q1092518): Difference between revisions
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English | Future independent times and Markov chains |
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Future independent times and Markov chains (English)
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1988
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A random time T is a future independent \(\mu\) time for a Markov chain \((X_ n)_ 0^{\infty}\) if T is independent of \((X_{T+n})^{\infty}_{n=0}\) and if \((X_{T+n})^{\infty}_{n=0}\) is a Markov chain with initial distribution \(\mu\) and the same transition probabilities as \((X_ n)_ 0^{\infty}\). This concept is used (with \(\mu\) the ``conditional stationary measure'') to give a new and short proof of the basic limit theorem of Markov chains, improving somewhat the result in the null-recurrent case.
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future independent time
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regeneration
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stationary measure
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coupling
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