Quasi-ergodic limits for finite absorbing Markov chains

DOI10.1016/J.LAA.2020.09.011zbMATH Open1458.37004arXiv2005.12738OpenAlexW3087039663WikidataQ114152143 ScholiaQ114152143MaRDI QIDQ2226460FDOQ2226460

Authors: Martin Rasmussen, Fritz Colonius 

Publication date: 12 February 2021

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

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

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

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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)

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Cited In (8)

• 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
• Title not available (Why is that?)
• On the quasi-ergodic distribution of absorbing Markov processes
• Some limit theorems for absorbing Markov processes
• Existence and uniqueness of quasi-stationary and quasi-ergodic measures for absorbing Markov chains: a Banach lattice approach

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