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Zapiski Nauchnykh Seminarov POMI, 2013, Volume 420, Pages 23–49 (Mi znsl5725)  

On the Markov property of the occupation time for continuous-time inhomogeneous Markov chains

A. A. Vorotov

Saint Petersburg State University, Saint Petersburg, Russia
References:
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
English version:
Journal of Mathematical Sciences (New York), 2015, Volume 206, Issue 2, Pages 127–145
DOI: https://doi.org/10.1007/s10958-015-2298-4
Bibliographic databases:
Document Type: Article
UDC: 519.217.2
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Vor13}
\by A.~A.~Vorotov
\paper On the Markov property of the occupation time for continuous-time inhomogeneous Markov chains
\inbook Probability and statistics. Part~20
\serial Zap. Nauchn. Sem. POMI
\yr 2013
\vol 420
\pages 23--49
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl5725}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2015
\vol 206
\issue 2
\pages 127--145
\crossref{https://doi.org/10.1007/s10958-015-2298-4}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84953365148}
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