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Большой семинар кафедры теории вероятностей МГУ
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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 |
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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. |