Occupation laws for some time-nonhomogeneous Markov chains
摘要
We consider finite-state time-nonhomogeneous Markov chains where the probability of moving from state to state at time is for a ``generator'' matrix and strength parameter . In these chains, as time grows, the positions are less and less likely to change, and so form simple models of age-dependent time-reinforcing behaviors. These chains, however, exhibit some different, perhaps unexpected, asymptotic occupation laws depending on parameters. Although on the one hand it is shown that the asymptotic position converges to a point-mixture for all , on the other hand, the average position, when variously , or , is shown to converges to a constant, a point-mixture, or a distribution with no atoms and full support on a certain simplex respectively. The last type of limit can be seen as a sort of ``spreading'' between the cases and . In particular, when is appropriately chosen, is a Dirichlet distribution with certain parameters, reminiscent of results in Polya urns.
引用
@article{arxiv.math/0701798,
title = {Occupation laws for some time-nonhomogeneous Markov chains},
author = {Zach Dietz and Sunder Sethuraman},
journal= {arXiv preprint arXiv:math/0701798},
year = {2007}
}
备注
24 pages, 2 figures