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Direct analytical methods for determining quasistationary distributions for continuous-time Markov chains

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Athens Conference on Applied Probability and Time Series Analysis

Part of the book series: Lecture Notes in Statistics ((LNS,volume 114))

Abstract

We shall be concerned with the problem of determining the quasistationary distributions of an absorbing continuous-time Markov chain directly from the transition-rate matrix Q.We shall present conditions which ensure that any finite μ-invariant probability measure for Q is a quasistationary distribution. Our results will be illustrated with reference to birth and death processes.

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Authors
  1. A. G. Hart
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  2. P. K. Pollett
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Editor information

Editors and Affiliations

  1. Stochastic Analysis Program, SMS, Australian National University, Canberra, ACT, 0200, Australia

    C. C. Heyde

  2. Academy of Sciences, Mathematical Institute, Vavilov Street 42, Moscow, 333, Russia

    Yu V. Prohorov

  3. Department of Mathematics, University of Washington, Seattle, WA, 98195, USA

    Ronald Pyke

  4. Department of Statistics and Applied Probability, University of California, Santa Barbara, Santa Barbara, CA, 93106, USA

    S. T. Rachev

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© 1996 Springer Science+Business Media New York

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Hart, A.G., Pollett, P.K. (1996). Direct analytical methods for determining quasistationary distributions for continuous-time Markov chains. In: Heyde, C.C., Prohorov, Y.V., Pyke, R., Rachev, S.T. (eds) Athens Conference on Applied Probability and Time Series Analysis. Lecture Notes in Statistics, vol 114. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-0749-8_8

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  • DOI: https://doi.org/10.1007/978-1-4612-0749-8_8

  • Publisher Name: Springer, New York, NY

  • Print ISBN: 978-0-387-94788-4

  • Online ISBN: 978-1-4612-0749-8

  • eBook Packages: Springer Book Archive

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