Quasi-ergodic limits for finite absorbing Markov chains

DOI10.1016/J.LAA.2020.09.011MaRDI QIDQ2226460zbMATH OpenOpenAlexWikidataFDO

Authors Martin Rasmussen, Fritz Colonius

Publication date 12 February 2021

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.12738

zbMATH Keywords

absorbing Markov chainquasi-stationary measuresubstochastic matrixquasi-ergodic measure

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Ergodicity, mixing, rates of mixing (37A25) Stochastic matrices (15B51) Ergodic theorems, spectral theory, Markov operators (37A30)

Abstract: We present formulas for quasi-ergodic limits of finite absorbing Markov chains. Since the irreducible case has been solved in 1965 by Darroch and Seneta, we focus on the reducible case, and our results are based on a very precise asymptotic analysis of the (exponential and polynomial) growth behaviour along admissible paths

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Cited in

(8)

• Existence and uniqueness of quasi-stationary and quasi-ergodic measures for absorbing Markov chains: a Banach lattice approach
• Analytic-geometric methods for finite Markov chains with applications to quasi-stationarity
• An ergodic theorem for asymptotically periodic time-inhomogeneous Markov processes, with application to quasi-stationarity with moving boundaries
• Exponential mixing property for absorbing Markov processes
• Limiting process of absorbing Markov chains
• scientific article; zbMATH DE number 1961502 (Why is no real title available?)
• On the quasi-ergodic distribution of absorbing Markov processes
• Some limit theorems for absorbing Markov processes

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