Two-sided taboo limits for Markov processes and associated perfect simulation

Peter W. Glynn and Hermann Thorisson

Stochastic Processes and their Applications, 2001, vol. 91, issue 1, 1-20

Abstract: In this paper, we study the two-sided taboo limit processes that arise when a Markov chain or process is conditioned on staying in some set A for a long period of time. The taboo limit is time-homogeneous after time 0 and time-inhomogeneous before time 0. The time-reversed limit has this same qualitative structure. The precise transition structure at the taboo limit is identified in the context of discrete- and continuous-time Markov chains, as well as diffusions. In addition, we present a perfect simulation algorithm for generating exact samples from the quasi-stationary distribution of a finite-state Markov chain.

Keywords: Markov; chains; Markov; processes; Quasi-stationary; distribution; Eigenvalues; Perron-Frobenius; theory; Perfect; simulation; Diffusions (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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