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Большой семинар кафедры теории вероятностей МГУ
23 декабря 2015 г. 16:45, г. Москва, ГЗ МГУ, ауд. 12-24


Explosion, implosion, and moments of passage times for continuous-time Markov chains : a semimartingale approach
Joint work with Dimitri Petritis (University of Rennes France)


M. V. Men'shikov

Department of Mathematical Sciences, Durham University

Аннотация: We establish general theorems quantifying the notion of recurrence — through an estimation of the moments of passage times — for irreducible continuous-time Markov chains on countably infinite state spaces. Sharp conditions of occurrence of the phenomenon of explosion are also obtained. A new phenomenon of implosion is introduced and sharp conditions for its occurrence are proven.


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