Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains

DOI10.1080/17442508.2019.1708913MaRDI QIDQ5086622zbMATH OpenOpenAlexWikidataFDO

Authors Tomasz R. Bielecki, Ziteng Cheng, Igor Cialenco, Ruoting Gong

Publication date 6 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.10850

zbMATH Keywords

Feller semigroupMarkov familytime homogenizationtime-inhomogeneous finite Markov chainWiener-Hopf factorization

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28) Queueing theory (aspects of probability theory) (60K25)

Abstract: This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the case of finite time-homogeneous Markov chains. Since then, several works extended the results of Barlow et al. (1980) in many directions. However, all these extensions were dealing with time-homogeneous Markov case. The first work dealing with the time-inhomogeneous situation was Bielecki et al. (2018), where Wiener-Hopf type factorization for time-inhomogeneous finite Markov chain with piecewise constant generator matrix function was derived. In the present paper we go further: we derive and study Wiener-Hopf type factorization for time-inhomogeneous finite Markov chain with the generator matrix function being a fairly general matrix valued function of time.

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Cited in

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• The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain

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