Velocity formulae between entropy and hitting time for Markov chains

Michael C.H. Choi

Statistics & Probability Letters, 2018, vol. 141, issue C, 62-67

Abstract: In the absence of acceleration, the velocity formula gives “distance travelled equals speed multiplied by time”. For a broad class of Markov chains such as circulant Markov chains or random walk on complete graphs, we prove a probabilistic analogue of the velocity formula between entropy and hitting time, where distance is the entropy of the Markov trajectories from state i to state j in the sense of Ekroot and Cover (1993), speed is the classical entropy rate of the chain, and the time variable is the expected hitting time between i and j. This motivates us to define new entropic counterparts of various hitting time parameters such as average hitting time or commute time, and prove analogous velocity formulae and estimates between these quantities.

Keywords: Entropy; Hitting time; Commute time; Eigentime; Random walk (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2018.05.026

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