A fluctuation theory for Markov chains

V. G. Kulkarni and N. U. Prabhu

Stochastic Processes and their Applications, 1984, vol. 16, issue 1, 39-54

Abstract: A fluctuation theory for Markov chains on an ordered countable state space is developed, using ladder processes. These are shown to be Markov renewal processes. Results are given for the joint distribution of the extremum (maximum or minimum) and the first time the extremum is achieved. Also a new classification of the states of a Markov chain is suggested. Two examples are given.

Keywords: Markov; chains; maximum; and; minimum; functionals; ladder; processes; Wiener-Hopf; factorization (search for similar items in EconPapers)
Date: 1984
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(84)90174-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:16:y:1984:i:1:p:39-54

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().