Stopping Markov processes and first path on graphs

DOI10.4171/JEMS/38MaRDI QIDQ2496876zbMATH OpenOpenAlexFDO

Authors Giacomo Aletti, Ely Merzbach

Publication date 25 July 2006

Published in Journal of the European Mathematical Society (JEMS) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/jems/38

Mathematics Subject Classification ID

Directed graphs (digraphs), tournaments (05C20) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

Motivated by problems in finance and medicine, among others, the authors consider a strongly stationary (discrete or continuous) Markov chain \(X_n\) on a finite set \(E\) with transition matrix \(P\). Given a set of finite stopping rules satisfying some conditions, the problem of finding the desired stopping law may be solved by embedding \(X_n\) into a Markov chain on a larger state set, the tree made by both the states and the stopping rules. The desired law is then obtained from the transition matrix of the new Markov chain. Unfortunately this new Markov chain may be so big that numerical computations may not be practicable. The problem then is to find a way of compressing the oversized information by embedding a graph into a larger but minimal graph. This is what the authors presently do.

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Cited in

(4)

• Are We There Yet? When to Stop a Markov Chain while Generating Random Graphs
• The behavior of a Markov network with respect to an absorbing class: the target algorithm
• How to Reduce Unnecessary Noise in Targeted Networks
• Blackwell spaces and -approximations of Markov chains

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