On some applications of Wald's identity to dams

Revindra M. Phatarfod

Stochastic Processes and their Applications, 1982, vol. 13, issue 3, 279-292

Abstract: It is known that the main difficulty in applying the Markovian analogue of Wald's Identity is the presence, in the Identity, of the last state variable before the random walk is terminated. In this paper we show that this difficulty can be overcome if the underlying Markov chain has a finite state space. The absorption probabilities thus obtained are used, by employing a duality argument, to derive time-dependent and limiting probabilities for the depletion process of a dam with Markovian inputs. The second problem that is considered here is that of a non-homogeneous but cyclic Markov chain. An analogue of Wald's Identity is obtained for this case, and is used to derive time- dependent and limiting probabilities for the depletion process with inputs forming a non- homogeneous (cyclic) Markov chain.

Keywords: Wald's; Identity; non-homogeneous; Markov; chain; bottomless; dams; Markov; chains; duality (search for similar items in EconPapers)
Date: 1982
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