On Markov intertwining relations and primal conditioning

Laurent Miclo, Marc Arnaudon and Koléhè Coulibaly-Pasquier

No 24-1509, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: Given an intertwining relation between two finite Markov chains, we investigate how it can be transformed by conditioning the primal Markov chain to stay in a proper subset. A natural assumption on the underlying link kernel is put forward. The three classical examples of discrete Pitman, top-to- random shuffle and absorbed birth-and-death chain intertwinings serve as illustrations

Date: 2024-02
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