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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2013 Volume 420, Pages 23–49 (Mi znsl5725)

On the Markov property of the occupation time for continuous-time inhomogeneous Markov chains

A. A. Vorotov

Saint Petersburg State University, Saint Petersburg, Russia

Abstract: It is known that the occupation time random field for a homogeneous Markov chain is Markovian. One investigates the possibility of generalizing this result for inhomogeneous chains. Consider a process which is a homogeneous Markov chain with the transition probability density $Q_1$ up to time $T$ and with the density $Q_2$ after $T$ ($Q_1\ne Q_2$). It turns out that even in this simplest case the occupation time is not Markovian.

Key words and phrases: occupation time, Markov property, inhomogeneous Markov chains.

UDC: 519.217.2

Received: 22.10.2013


 English version:
Journal of Mathematical Sciences (New York), 2015, 206:2, 127–145

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© Steklov Math. Inst. of RAS, 2024