Path decompositions for Markov chains
Probability
2007-05-23 v1
Abstract
We present two path decompositions of Markov chains (with general state space) by means of harmonic functions, which are dual to each other. They can be seen as a generalization of Williams' decomposition of a Brownian motion with drift. The results may be illustrated by a multitude of examples, but we confine ourselves to different types of random walks and the Polya urn.
Keywords
Cite
@article{arxiv.math/0410142,
title = {Path decompositions for Markov chains},
author = {Gotz Kersting and Kaya Memisoglu},
journal= {arXiv preprint arXiv:math/0410142},
year = {2007}
}
Comments
Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000234