Entrance Laws for Markov Chains
Cox, J. Theodore
Ann. Probab., Tome 5 (1977) no. 6, p. 533-549 / Harvested from Project Euclid
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Let $S$ be a countable set and let $Q$ be a stochastic matrix on $S \times S$. An entrance law for $Q$ is a collection $\mathbf{\mu} = \{\mu_n\}_{n\in\mathbb{Z}}$ of probability measures on $S$ such that $\mu_nQ = \mu_{n+1}$ for all $n\in\mathbb{Z}$. There is a natural correspondence between entrance laws and Markov chains $\xi_n$ with stationary transition probabilities $Q$ and time parameter set $\mathbb{Z}$. The set $\mathscr{L}(Q)$ of entrance laws is examined in the discrete and continuous time setting. Criteria are given which insure the existence of nontrivial entrance laws.
Publié le : 1977-08-14
Classification:  Entrance laws,  Markov chains,  Martin boundary,  60J10,  60J50 
@article{1176995759,
     author = {Cox, J. Theodore},
     title = {Entrance Laws for Markov Chains},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 533-549},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995759}
}

Cox, J. Theodore. Entrance Laws for Markov Chains. Ann. Probab., Tome 5 (1977) no. 6, pp.  533-549. http://gdmltest.u-ga.fr/item/1176995759/