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Zapiski Nauchnykh Seminarov POMI, 2013, Volume 420, Pages 23–49
(Mi znsl5725)
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On the Markov property of the occupation time for continuous-time inhomogeneous Markov chains
A. A. Vorotov Saint Petersburg State University, Saint Petersburg, Russia
Abstract:
It is known that the occupation time random field for a homogeneous Markov chain is Markovian. One investigates the possibility of generalizing this result for inhomogeneous chains. Consider a process which is a homogeneous Markov chain with the transition probability density $Q_1$ up to time $T$ and with the density $Q_2$ after $T$ ($Q_1\ne Q_2$). It turns out that even in this simplest case the occupation time is not Markovian.
Key words and phrases:
occupation time, Markov property, inhomogeneous Markov chains.
Received: 22.10.2013
Citation:
A. A. Vorotov, “On the Markov property of the occupation time for continuous-time inhomogeneous Markov chains”, Probability and statistics. Part 20, Zap. Nauchn. Sem. POMI, 420, POMI, St. Petersburg, 2013, 23–49; J. Math. Sci. (N. Y.), 206:2 (2015), 127–145
Linking options:
https://www.mathnet.ru/eng/znsl5725 https://www.mathnet.ru/eng/znsl/v420/p23
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Abstract page: | 164 | Full-text PDF : | 58 | References: | 47 |
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