The Existence and Uniqueness of Stationary Measures for Markov Renewal Processes
Pyke, Ronald ; Schaufele, Ronald
Ann. Math. Statist., Tome 37 (1966) no. 6, p. 1439-1462 / Harvested from Project Euclid
In [4], Doob shows that $F^\ast(x) = \mu^{-1} \int^x_0 \lbrack 1 - F(u)\rbrack du$ is a stationary probability measure for a renewal process when the common distribution function $F$ has a finite mean $\mu$. In [2], Derman shows that an irreducible, null recurrent Markov chain (MC) has a unique positive stationary measure. In this paper, similar results are obtained for a class of irreducible recurrent Markov renewal processes (MRP). Since MRP's are generalizations of MC's and renewal processes these results generalize those mentioned above. Stationary measures are also derived for a class of MRP's with auxiliary paths.
Publié le : 1966-12-14
Classification: 
@article{1177699138,
     author = {Pyke, Ronald and Schaufele, Ronald},
     title = {The Existence and Uniqueness of Stationary Measures for Markov Renewal Processes},
     journal = {Ann. Math. Statist.},
     volume = {37},
     number = {6},
     year = {1966},
     pages = { 1439-1462},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177699138}
}
Pyke, Ronald; Schaufele, Ronald. The Existence and Uniqueness of Stationary Measures for Markov Renewal Processes. Ann. Math. Statist., Tome 37 (1966) no. 6, pp.  1439-1462. http://gdmltest.u-ga.fr/item/1177699138/