Continuous-time, constant causative Markov chains

DOI10.1016/0304-4149(87)90057-3MaRDI QIDQ1098175zbMATH OpenOpenAlexFDO

Authors Jean T. Johnson

Publication date 1987

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(87)90057-3

zbMATH Keywords

constant causative Markov chainintensity matricesirreducibility and ergodicitylong-run properties

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27)

Review text

The paper extends the definition of constant causative Markov chain in discrete time to the case of continuous time. Recall that a discrete-time constant causative Markov chain is a nonhomogeneous Markov chain with one-step transition matrices satisfying \(P(n,n+1)=P(n-1,n)C\) for some matrix C (called causative). Generalizing this definition to continuous- time processes, the author finds that a constant causative Markov chain in continuous time must have intensity matrices of the form \(Q(t)=tC+Q\), where C and Q are intensity matrices. Next, he considers long-run properties and derives a sufficient condition for ergodicity, which extends earlier results for discrete time. Finally, he shows that in the case when Q and C commute, then the irreducibility and ergodicity of the chain can be directly related to that of two corresponding discrete time, homogeneous chains.

Recommendations

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Cites work

• A Matrix Approach to Nonstationary Chains
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• scientific article; zbMATH DE number 3532286 (Why is no real title available?)
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• scientific article; zbMATH DE number 3085440 (Why is no real title available?)
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Cited in

(3)

• Nonhomogeneous, continuous-time Markov chains defined by series of proportional intensity matrices
• Probabilistic causes in Markov chains
• Causative matrix technique for deriving interim period transition probabilities in nonstationary markov process

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