Difference between revisions of "Transition with prohibitions"
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− | + | |valign="top"|{{Ref|C}}|| K.L. Chung, "Markov chains with stationary transition probabilities" , Springer (1960) {{MR|0116388}} {{ZBL|0092.34304}} | |
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+ | |valign="top"|{{Ref|GS}}|| I.I. Gihman, A.V. Skorohod, "The theory of stochastic processes" , '''1''' , Springer (1975) (Translated from Russian) {{MR|0375463}} {{ZBL|0305.60027}} | ||
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Revision as of 20:51, 1 June 2012
transition with taboo states, for a Markov chain
2020 Mathematics Subject Classification: Primary: 60J10 Secondary: 60J35 [MSN][ZBL]
The set of trajectories of the Markov chain that never enters in a specified set of states in a given time interval. Let, for example, be a Markov chain with discrete time and set of states
, while
is the set of "taboo" states (the taboo set). Then the taboo probabilities
are
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The properties of the taboo probabilities are analogous to those of the ordinary transition probabilities
, since the families of matrices
and
,
, form multiplication semi-groups; however, while
,
. Different problems, e.g. the study of the distribution of the time to the first entrance of the Markov chain into a given set or limit theorems for branching processes (cf. Branching process) under conditions of non-extinction, in fact amount to the investigation of various properties of taboo probabilities.
References
[C] | K.L. Chung, "Markov chains with stationary transition probabilities" , Springer (1960) MR0116388 Zbl 0092.34304 |
Comments
References
[GS] | I.I. Gihman, A.V. Skorohod, "The theory of stochastic processes" , 1 , Springer (1975) (Translated from Russian) MR0375463 Zbl 0305.60027 |
Transition with prohibitions. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Transition_with_prohibitions&oldid=24667