The stationary distribution of a Markov jump process glued together from two state spaces at two vertices

DOI10.1080/15326349.2015.1055769zbMATH Open1329.60296arXiv1401.6400OpenAlexW3105758387MaRDI QIDQ3458136FDOQ3458136

Authors: Bence Mélykúti, Peter Pfaffelhuber 

Publication date: 8 December 2015

Published in: Stochastic Models (Search for Journal in Brave)

Abstract: We compute the stationary distribution of a continuous-time Markov chain which is constructed by gluing together two finite, irreducible Markov chains by identifying a pair of states of one chain with a pair of states of the other and keeping all transition rates from either chain (the rates between the two shared states are summed). The result expresses the stationary distribution of the glued chain in terms of quantities of the two original chains. Some of the required terms are nonstandard but can be computed by solving systems of linear equations using the transition rate matrices of the two original chains. Special emphasis is given to the cases when the stationary distribution of the glued chain is a multiple of the equilibria of the original chains, and when not, for which bounds are derived.

Full work available at URL: https://arxiv.org/abs/1401.6400

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zbMATH Keywords

Markov jump processcontinuous-time Markov chainstationary distributionregenerative processesergodic theorem

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

• Regenerative stochastic processes
• Title not available (Why is that?)
• Basics of Applied Stochastic Processes
• A Central Limit Theorem for Cumulative Processes
• Estimating a probability using finite memory

Cited In (1)

• Stationary distributions via decomposition of stochastic reaction networks

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