A Limit Theorem for a Class of Inhomogeneous Markov Processes
Chiang, Tzuu-Shuh ; Chow, Yunshyong
Ann. Probab., Tome 17 (1989) no. 4, p. 1483-1502 / Harvested from Project Euclid
Let $\{X(t): t \in R^+ \text{or} I^+\}$ be an (aperiodic) irreducible Markov process with a finite state space $S$ and transition rate $q_{ij}(t) = p(i, j)(\lambda(t))^{U(i, j)}$, where $0 \leq U(i, j) \leq \infty$ and $\lambda(t)$ is some suitable rate function with $\lim_{t \rightarrow \infty}\lambda(t) = 0$. We shall show in this article that there are constants $h(i) \geq 0$ and $\beta_i > 0$ such that independent of $X(0), \lim_{t \rightarrow \infty}P(X(t) = i) \div (\lambda(t))^{h(i)} = \beta_i$ for each $i \in S$. The height function $h$ is determined by $(p(i, j))$ and $(U(i, j))$. In particular, a limit distribution exists and concentrates on $\underline{S} = \{i \in S: h(i) = 0\}$.
Publié le : 1989-10-14
Classification:  Forward equations,  Perron-Frobenius theorem,  cycle method,  inhomogeneous Markov process,  convergence rate,  60J27,  60F05,  60F10
@article{1176991169,
     author = {Chiang, Tzuu-Shuh and Chow, Yunshyong},
     title = {A Limit Theorem for a Class of Inhomogeneous Markov Processes},
     journal = {Ann. Probab.},
     volume = {17},
     number = {4},
     year = {1989},
     pages = { 1483-1502},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991169}
}
Chiang, Tzuu-Shuh; Chow, Yunshyong. A Limit Theorem for a Class of Inhomogeneous Markov Processes. Ann. Probab., Tome 17 (1989) no. 4, pp.  1483-1502. http://gdmltest.u-ga.fr/item/1176991169/