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Infinite block-structured transition matrices and their properties

Part of:Markov processesOperations research and management science

Published online by Cambridge University Press:  01 July 2016

Yiqiang Q. Zhao,
Wei Li and
W. John Braun
Yiqiang Q. Zhao*
Affiliation:
University of Winnipeg
Wei Li*
Affiliation:
University of Winnipeg, Chinese Academy of Sciences
W. John Braun*
Affiliation:
University of Winnipeg
*
∗ Postal address: Department of Mathematics and Statistics, University of Winnipeg, Winnipeg, Canada R3B 2E9
∗ Postal address: Department of Mathematics and Statistics, University of Winnipeg, Winnipeg, Canada R3B 2E9
∗ Postal address: Department of Mathematics and Statistics, University of Winnipeg, Winnipeg, Canada R3B 2E9
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Abstract

In this paper, we study Markov chains with infinite state block-structured transition matrices, whose states are partitioned into levels according to the block structure, and various associated measures. Roughly speaking, these measures involve first passage times or expected numbers of visits to certain levels without hitting other levels. They are very important and often play a key role in the study of a Markov chain. Necessary and/or sufficient conditions are obtained for a Markov chain to be positive recurrent, recurrent, or transient in terms of these measures. Results are obtained for general irreducible Markov chains as well as those with transition matrices possessing some block structure. We also discuss the decomposition or the factorization of the characteristic equations of these measures. In the scalar case, we locate the zeros of these characteristic functions and therefore use these zeros to characterize a Markov chain. Examples and various remarks are given to illustrate some of the results.

Keywords

Infinite-state Markov chainsblock-form matricesMarkov chains with repeating rowstransient, recurrent and positive recurrent statescensored Markov chainsfactorization of generating functions

MSC classification

Primary:60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
Secondary:90B22: Queues and service60J27: Continuous-time Markov processes on discrete state spaces

Information

Type
General Applied Probability
Information
Advances in Applied Probability , Volume 30 , Issue 2 , June 1998, pp. 365 - 384
Copyright
Copyright © Applied Probability Trust 1998 

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