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Principle Seminar of the Department of Probability Theory, Moscow State University
December 23, 2015 16:45–17:45, Moscow, MSU, auditorium 12-24
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Explosion, implosion, and moments of passage times for continuous-time Markov chains : a semimartingale approach
Joint work with Dimitri Petritis (University of Rennes France)
M. V. Men'shikov Department of Mathematical Sciences, Durham University
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Abstract:
We establish general theorems quantifying the notion of recurrence —
through an estimation of the moments of passage times — for irreducible
continuous-time Markov chains on countably infinite state spaces. Sharp
conditions of occurrence of the phenomenon of explosion are also obtained.
A new phenomenon of implosion is introduced and sharp conditions
for its occurrence are proven.
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