Continuous-time, constant causative Markov chains

Jean T. Johnson

Stochastic Processes and their Applications, 1987, vol. 26, 161-171

Abstract: The definition of a constant causative Markov chain is extended to the continuous-time case. Such chains are nonhomogeneous and are found to have intensity matrices of the form Q(t) = tC + Q. Ergodicity is investigated resulting in an extension to continuous-time of a version of Lipstein's conjecture for constant causative chains. In the case where Q and C commute the irreducibility and ergodicity of the constant-causative chain can be directly related to that of two corresponding discrete-time, homogeneous chains, .

Keywords: constant; causative; Markov; chains; inhomogeneous; Markov; chains; ergodicity (search for similar items in EconPapers)
Date: 1987
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