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Difference between revisions of "Markov chain, recurrent"

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<table><TR><TD valign="top">[1]</TD> <TD valign="top"> W. Feller, [[Feller, "An introduction to probability theory and its  applications"|"An introduction to probability theory and its  applications"]], '''1''' , Wiley (1966) </TD></TR></table>
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|valign="top"|{{Ref|F}}|| W. Feller, [[Feller, "An introduction to probability theory and its  applications"|"An introduction to probability theory and its  applications"]], '''1''' , Wiley (1966)
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<table><TR><TD valign="top">[a1]</TD> <TD valign="top"> D. Freeman, "Markov chains" , Holden-Day (1975)</TD></TR><TR><TD valign="top">[a2]</TD> <TD valign="top"> M. Iosifescu, "Finite Markov processes and their applications" , Wiley (1980) {{MR|0587116}} {{ZBL|0436.60001}} </TD></TR><TR><TD valign="top">[a3]</TD> <TD valign="top"> J.G. Kemeny, J.L. Snell, "Finite Markov chains" , v. Nostrand (1960) {{MR|1531032}} {{MR|0115196}} {{ZBL|0089.13704}} </TD></TR><TR><TD valign="top">[a4]</TD> <TD valign="top"> J.G. Kemeny, J.L. Snell, A.W. Knapp, "Denumerable Markov chains" , Springer (1976) {{MR|0407981}} {{ZBL|0348.60090}} </TD></TR><TR><TD valign="top">[a5]</TD> <TD valign="top"> D. Revuz, "Markov chains" , North-Holland (1975) {{MR|0415773}} {{ZBL|0332.60045}} </TD></TR><TR><TD valign="top">[a6]</TD> <TD valign="top"> V.I. [V.I. Romanovskii] Romanovsky, "Discrete Markov chains" , Wolters-Noordhoff (1970) (Translated from Russian) {{MR|0266312}} {{ZBL|0201.20002}} </TD></TR><TR><TD valign="top">[a7]</TD> <TD valign="top"> E. Seneta, "Non-negative matrices and Markov chains" , Springer (1981) {{MR|2209438}} {{ZBL|0471.60001}} </TD></TR><TR><TD valign="top">[a8]</TD> <TD valign="top"> V. Spitzer, "Principles of random walk" , v. Nostrand (1964) {{MR|0171290}} {{ZBL|0119.34304}} </TD></TR></table>
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{|
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|valign="top"|{{Ref|Fr}}|| D. Freeman, "Markov chains" , Holden-Day (1975)
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|valign="top"|{{Ref|I}}|| M. Iosifescu, "Finite Markov processes and their applications" , Wiley (1980) {{MR|0587116}} {{ZBL|0436.60001}}
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|-
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|valign="top"|{{Ref|KS}}|| J.G. Kemeny, J.L. Snell, "Finite Markov chains" , v. Nostrand (1960) {{MR|1531032}} {{MR|0115196}} {{ZBL|0089.13704}}
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|-
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|valign="top"|{{Ref|KSK}}|| J.G. Kemeny, J.L. Snell, A.W. Knapp, "Denumerable Markov chains" , Springer (1976) {{MR|0407981}} {{ZBL|0348.60090}}
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|-
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|valign="top"|{{Ref|Re}}|| D. Revuz, "Markov chains" , North-Holland (1975) {{MR|0415773}} {{ZBL|0332.60045}}
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|-
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|valign="top"|{{Ref|Ro}}|| V.I. Romanovsky, "Discrete Markov chains" , Wolters-Noordhoff (1970) (Translated from Russian) {{MR|0266312}} {{ZBL|0201.20002}}
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|valign="top"|{{Ref|Se}}|| E. Seneta, "Non-negative matrices and Markov chains" , Springer (1981) {{MR|2209438}} {{ZBL|0471.60001}}
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|-
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|valign="top"|{{Ref|Sp}}|| V. Spitzer, "Principles of random walk" , v. Nostrand (1964) {{MR|0171290}} {{ZBL|0119.34304}}
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Revision as of 06:26, 14 May 2012

2020 Mathematics Subject Classification: Primary: 60J10 [MSN][ZBL]

A Markov chain in which a random trajectory , starting at any state , returns to that state with probability 1. In terms of the transition probabilities , recurrence of a discrete-time Markov chain is equivalent to the divergence for any of the series

In a recurrent Markov chain a trajectory , , , returns infinitely often to the state with probability 1. In a recurrent Markov chain there are no inessential states and the essential states decompose into recurrent classes. An example of a recurrent Markov chain is the symmetric random walk on the integer lattice on the line or plane. In the symmetric walk on the line a particle moves from position to with probabilities ; in the symmetric walk on the plane a particle moves from to one of the four points , with probabilities . In these examples a particle, starting the walk at an arbitrary point, returns to that point with probability 1. The symmetric walk on the integer lattice in the three-dimensional space, when the probability of transition from to a neighbouring point , , is equal to , is not recurrent. In this case the probability of return of the particle to its initial point is approximately 0.35.

References

[F] W. Feller, "An introduction to probability theory and its applications", 1 , Wiley (1966)

Comments

References

[Fr] D. Freeman, "Markov chains" , Holden-Day (1975)
[I] M. Iosifescu, "Finite Markov processes and their applications" , Wiley (1980) MR0587116 Zbl 0436.60001
[KS] J.G. Kemeny, J.L. Snell, "Finite Markov chains" , v. Nostrand (1960) MR1531032 MR0115196 Zbl 0089.13704
[KSK] J.G. Kemeny, J.L. Snell, A.W. Knapp, "Denumerable Markov chains" , Springer (1976) MR0407981 Zbl 0348.60090
[Re] D. Revuz, "Markov chains" , North-Holland (1975) MR0415773 Zbl 0332.60045
[Ro] V.I. Romanovsky, "Discrete Markov chains" , Wolters-Noordhoff (1970) (Translated from Russian) MR0266312 Zbl 0201.20002
[Se] E. Seneta, "Non-negative matrices and Markov chains" , Springer (1981) MR2209438 Zbl 0471.60001
[Sp] V. Spitzer, "Principles of random walk" , v. Nostrand (1964) MR0171290 Zbl 0119.34304
How to Cite This Entry:
Markov chain, recurrent. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Markov_chain,_recurrent&oldid=25534
This article was adapted from an original article by B.A. Sevast'yanov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article