中文

Occupation laws for some time-nonhomogeneous Markov chains

概率论 2007-05-23 v1

摘要

We consider finite-state time-nonhomogeneous Markov chains where the probability of moving from state ii to state jij\neq i at time nn is G(i,j)/nζG(i,j)/n^\zeta for a ``generator'' matrix GG and strength parameter ζ>0\zeta>0. 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 ζ>0\zeta>0, on the other hand, the average position, when variously 0<ζ<10<\zeta<1, ζ>1\zeta>1 or ζ=1\zeta=1, is shown to converges to a constant, a point-mixture, or a distribution μG\mu_G 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 0<ζ<10<\zeta<1 and ζ>1\zeta>1. In particular, when GG is appropriately chosen, μG\mu_G is a Dirichlet distribution with certain parameters, reminiscent of results in Polya urns.

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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