On strong stationary times and approximation of Markov chain hitting times by geometric sums (Q2322604)
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| Language | Label | Description | Also known as |
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| English | On strong stationary times and approximation of Markov chain hitting times by geometric sums |
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On strong stationary times and approximation of Markov chain hitting times by geometric sums (English)
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5 September 2019
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The paper considers an irreducible, ergodic, discrete time Markov chain with finite state space initialized in stationary regime. It continues the investigation of the first time entrance of a given state. Under certain conditions, this time admits a representation in the form of a geometric sum of independent and identically distributed random variables. The main goal in this note is to consider the approximation of such time by a geometric sum.
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Markov chains
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passage time
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geometric sum
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strong stationary time
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stochastic ordering
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