On the existence of uni-instantaneous Q-processes with a given finite mu-invariant measure


Autoria(s): Gray, B; Pollett, P; Zhang, HJ
Contribuinte(s)

C.C. Heyde

Data(s)

01/01/2005

Resumo

Let S be a countable set and let Q = (q(ij), i, j is an element of S) be a conservative q-matrix over S with a single instantaneous state b. Suppose that we are given a real number mu >= 0 and a strictly positive probability measure m = (m(j), j is an element of S) such that Sigma(i is an element of S) m(i)q(ij) = -mu m(j), j 0 b. We prove that there exists a Q-process P(t) = (p(ij) (t), i, j E S) for which m is a mu-invariant measure, that is Sigma(i is an element of s) m(i)p(ij)(t) = e(-mu t)m(j), j is an element of S. We illustrate our results with reference to the Kolmogorov 'K 1' chain and a birth-death process with catastrophes and instantaneous resurrection.

Identificador

http://espace.library.uq.edu.au/view/UQ:76803

Idioma(s)

eng

Publicador

Applied Probability Trust

Palavras-Chave #Statistics & Probability #Markov Chain #Q-matrix #Birth-death Process #Construction Theory #Ergodic Properties #Minimal Process #C1 #230202 Stochastic Analysis and Modelling #780101 Mathematical sciences
Tipo

Journal Article